Measuring the roughness of random paths by increment ratios

Jean-Marc Bardet (1) , Donatas Surgailis (2)

1 SAMM - Statistique, Analyse et Modélisation Multidisciplinaire (SAmos-Marin Mersenne)
2 Institute of Mathematics and Informatics

A statistic based on increment ratios (IR) and related to zero crossings of increment sequence is defined and studied for measuring the roughness of random paths. The main advantages of this statistic are robustness to smooth additive and multiplicative trends and applicability to infinite variance processes. The existence of the IR statistic limit (called the IR-roughness below) is closely related to the existence of a tangent process. Three particular cases where the IR-roughness exists and is explicitly computed are considered. Firstly, for a diffusion process with smooth diffusion and drift coefficients, the IR-roughness coincides with the IR-roughness of a Brownian motion and its convergence rate is obtained. Secondly, the case of rough Gaussian processes is studied in detail under general assumptions which do not require stationarity conditions. Thirdly, the IR-roughness of a Lévy process with $\alpha-$stable tangent process is established and can be used to estimate the fractional parameter $\alpha \in (0,2)$ following a central limit theorem.

Mots clés: Estimation of the local regularity function of stochastic process; Limit theorems; Hölder exponent; Tangent process; Zero crossings; Diffusion processes; Fractional Brownian motion; Multifractional Brownian motion; Lévy processes.; Lévy processes

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Jean-Marc Bardet, Donatas Surgailis. Measuring the roughness of random paths by increment ratios. Bernoulli, 2010, pp.1-36. ⟨10.3150/10-BEJ291⟩. ⟨hal-00238556v3⟩