Estimation of the global regularity of a multifractional Brownian motion

Publikation: Working paperForskning


  • rp16_33

    Forlagets udgivne version, 687 KB, PDF-dokument

This paper presents a new estimator of the global regularity index of a multifractional Brownian motion. Our estimation method is based upon a ratio statistic, which compares the realized global quadratic variation of a multifractional Brownian motion at two different frequencies. We show that a logarithmic transformation of this statistic converges in probability to the minimum of the Hurst functional parameter, which is, under weak assumptions, identical to the global regularity index of the path.
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider17
StatusUdgivet - 9 dec. 2016
SerietitelCREATES Research Papers


  • consistency, Hurst parameter, multifractional Brownian motion, power variation

Se relationer på Aarhus Universitet Citationsformater


Ingen data tilgængelig

ID: 107103619