Estimation of the global regularity of a multifractional Brownian motion

Publikation: Working paperForskning

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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.
OriginalsprogEngelsk
UdgivelsesstedAarhus
UdgiverInstitut for Økonomi, Aarhus Universitet
Antal sider17
StatusUdgivet - 9 dec. 2016
SerietitelCREATES Research Papers
Nummer2016-33

    Forskningsområder

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

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