Uniform Hölder exponent of a stationary increments Gaussian process: Estimation starting from average values

Qidi Peng

Let be a stationary increments Gaussian process satisfying some assumptions. By using the notion of generalized quadratic variation we build a strongly consistent and asymptotically normal estimator of the uniform Hölder exponent of , over a compact interval. Our estimator is obtained starting from average values of the process over a regular grid.

Mots clés: Gaussian processes; Hölder exponents; Generalized increments; Quadratic variations; Central Limit Theorems

Domaines: Bio-informatique [q-bio.QM]; Bio-Informatique, Biologie Systémique [q-bio.QM]

Qidi Peng. Uniform Hölder exponent of a stationary increments Gaussian process: Estimation starting from average values. Statistics and Probability Letters, 2011, 81 (8), pp.1326. ⟨10.1016/j.spl.2011.03.036⟩. ⟨hal-00753940⟩