Estimation of the pointwise Hölder exponent of hidden multifractional Brownian motion using wavelet coefficients

Sixian Jin (), Qidi Peng () and Henry Schellhorn ()
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Sixian Jin: Claremont Graduate University
Qidi Peng: Claremont Graduate University
Henry Schellhorn: Claremont Graduate University

Statistical Inference for Stochastic Processes, 2018, vol. 21, issue 1, No 5, 113-140

Abstract: Abstract We propose a wavelet-based approach to construct consistent estimators of the pointwise Hölder exponent of a multifractional Brownian motion, in the case where this underlying process is not directly observed. The relative merits of our estimator are discussed, and we introduce an application to the problem of estimating the functional parameter of a nonlinear model.

Keywords: Pointwise Hölder exponent; Multifractional process; Wavelet coefficients; Parametric estimation (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1007/s11203-016-9145-1

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