Concepedia

Identification of the Hurst Index of a Step Fractional Brownian Motion

Albert Benassi, P. Bertrand, Serge Cohen, Jacques Istas

Statistical Inference for Stochastic Processes · 2000 · 66 citations · 9 references

DOI

Concepts

References

9

Fractional Brownian Motions, Fractional Noises and Applications

Benoît B. Mandelbrot, John W. Van Ness · SIAM Review · 1968 · 7.7K citations

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Detection of Abrupt Changes: Theory and Application

Kurt S. Riedel · Technometrics · 1994 · 3K citations

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Elliptic gaussian random processes

Albert Benassi, Stéphane Jaffard, Daniel Y. Le Roux · Revista Matemática Iberoamericana · 1997 · 419 citations · Full text

, , +14

Quadratic variations and estimation of the local Hölder index of a Gaussian process

Jacques Istas, Gabriel Lang · Annales de l Institut Henri Poincaré Probabilités et Statistiques · 1997 · 351 citations · Full text

, , +8

Multifractional Brownian Motion : Definition and Preliminary Results

Romain-François Peltier, Jacques Lévy Véhel · OpenGrey (Institut de l'Information Scientifique et Technique) · 1995 · 334 citations · Full text

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