Measuring the roughness of random paths by increment ratios

4 February 2008

Papers citing "Measuring the roughness of random paths by increment ratios"

6 / 6 papers shown

Title
$Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion$ Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion M. Bibinger 6 2 0 09 Apr 2019
Moment bounds and central limit theorems for Gaussian subordinated arrays Jean‐Marc Bardet D. Surgailis 62 23 0 25 Apr 2011
$Nonparametric estimation of the local Hurst function of multifractional Gaussian processes$ Nonparametric estimation of the local Hurst function of multifractional Gaussian processes Jean‐Marc Bardet D. Surgailis 61 36 0 14 Oct 2010
Adaptive estimator of the memory parameter and goodness-of-fit test using a multidimensional increment ratio statistic Jean‐Marc Bardet Béchir Dola 47 3 0 03 Oct 2010
$Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size$ Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size J. Breton Jean‐François Coeurjolly 45 19 0 16 Oct 2009
Nonparametric estimation of the characteristic triplet of a discretely observed Lévy process S. Gugushvili 115 53 0 22 Jul 2008