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SAMM - Statistique, Analyse, Modélisation Multidisciplinaire |  |
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SAMM - Statistique, Analyse, Modélisation Multidisciplinaire | |
| HAL: hal-00707201, version 1 |
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| JdS 2012, Bruxelles : Belgique (2012) |
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| Nonparametric estimation of the local Hurst function of multifractional Gaussian processes |
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| Jean-Marc Bardet 1 |
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| (2012-05-21) |
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| A new nonparametric estimator of the local Hurst function of a multifractional Gaussian process based on the increment ratio (IR) statistic is defined. In a general frame, the point-wise and uniform weak and strong consistency and a multidimensional central limit theorem for this estimator are established. Similar results are obtained for a refinement of the generalized quadratic variations (QV) estimator. The example of the multifractional Brownian motion is studied in detail. A simulation study is included showing that the IR-estimator is more accurate than the QV-estimator. |
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| 1: | Statistique, Analyse et Modélisation Multidisciplinaire (SAmos-Marin Mersenne) (SAMM) |
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Université Paris I - Panthéon-Sorbonne |
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| Subject | : | Mathematics/Statistics Statistics/Statistics Theory |
| hal-00707201, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00707201 | |
| oai:hal.archives-ouvertes.fr:hal-00707201 | |
| From: Jean-Marc Bardet | |
| Submitted on: Tuesday, 12 June 2012 11:10:07 | |
| Updated on: Tuesday, 12 June 2012 11:10:07 | |
