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Mathematics > Probability

arXiv:1512.05054 (math)
[Submitted on 16 Dec 2015 (v1), last revised 17 Jul 2016 (this version, v4)]

Title:Estimation of the Pointwise Hölder Exponent of Hidden Multifractional Brownian Motion Using Wavelet Coefficients

Authors:Sixian Jin, Qidi Peng, Henry Schellhorn
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Abstract:We propose a wavelet-based approach to construct consistent estimators of the pointwise Hölder exponent of a multifractional Brownian motion, in the case where this underlying process is not directly observed. The relative merits of our estimator are discussed, and we introduce an application to the problem of estimating the functional parameter of a nonlinear model.
Subjects: Probability (math.PR); Statistics Theory (math.ST)
Cite as: arXiv:1512.05054 [math.PR]
  (or arXiv:1512.05054v4 [math.PR] for this version)
  https://doi.org/10.48550/arXiv.1512.05054

Submission history

From: Qidi Peng [view email]
[v1] Wed, 16 Dec 2015 05:21:47 UTC (29 KB)
[v2] Sat, 9 Jul 2016 18:20:53 UTC (135 KB)
[v3] Tue, 12 Jul 2016 01:26:20 UTC (135 KB)
[v4] Sun, 17 Jul 2016 21:10:19 UTC (178 KB)
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