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mBm-Biblio-Statistics

 

 

 

 

 

Regularity and identification of Generalized Multifractional Gaussian Processes

Antoine Ayache, Albert Benassi, Serge Cohen, Jacques Lévy Véhel

Lecture Notes in Mathematics 1857 (2004) 290-312

http://hal.archives-ouvertes.fr/index.php?halsid=925j51tvkjuc5n3li3iranals2&view_this_doc=inria-00576446&version=1

 

Uniform Hölder exponent of a stationary increments Gaussian process: Estimation starting from average values

Peng, Qidi,

Statistics & Probability Letters, 81 (8), p.1326-1335, Aug 2011

http://www.sciencedirect.com/science/article/pii/S0167715211001271

 

 

Measuring the roughness of random paths by increment ratios

Jean-Marc Bardet and Donatas Surgailis

Bernoulli Volume 17, Number 2 (2011), 749-780

http://projecteuclid.org/DPubS?service=UI&version=1.0&verb=Display&handle=euclid.bj/1302009246

 

Identification of multifractional Brownian motion

Jean-Francois Coeurjolly

Bernoulli 11(6), 2005, 987-1008

http://www.jstor.org/pss/25464776

 

On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion

Antoine Ayache and Jacques Lévy Véhel

Stochastic processes and their applications, 2004, vol. 111, issue 1, pages 119-156

http://econpapers.repec.org/article/eeespapps/v_3a111_3ay_3a2004_3ai_3a1_3ap_3a119-156.htm

 

Identification of the Hurst Index of a Step Fractional Brownian Motion

 

Benassi A., Bertrand P., Cohen S., Istas J

Statistical Inference for Stochastic Processes, 3(1-2),101-111, 2000

http://www.ingentaconnect.com/content/klu/sisp/2000/00000003/F0020001/00272346

A central limit theorem for the generalized quadratic variation of the step fractional Brownian motion
Antoine Ayache, Pierre Bertrand, Jacques Lévy Véhel
Statistical Inference for Stochastic Processes, 10(1), 1-27, 2007

http://ideas.repec.org/a/spr/sistpr/v10y2007i1p1-27.html

Identifying the multifractional function of a Gaussian process
Albert Benassi , Serge Cohen , Jacques Istas
Statistics & Probability Letter, 39(4), 337-345, 1998

http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.48.3203

Local estimation of the Hurst index of multifractional Brownian motion by Increment Ratio Statistic method

P. Bertrand, M. Fhima, A. Guillin,

To appear in ESAIM PS, 2011

http://arxiv.org/abs/1010.4849

Tracking performance of Hurst Estimators for multifractional Gaussian processes

Hu Sheng, YangQuan Chen, TianShuang Qiu

Proceedings of FDA’10. The 4th IFAC Workshop Fractional Differentiation and its Applications, 2010 http://mechatronics.ece.usu.edu/yqchen/paper/10/Tracking%20Performance%20of%20Hurst%20Estimators%20for%20Multifractional%20Gaussian%20Processes.pdf

 

Fast change point analysis on the Hurst index of piecewise fractional Brownian motion

P. R. Bertrand, M. Fhima & A. Guillin,

Proceeding of the 43ème Journées de Statistiques, Tunis (2011).

 

Extrapolation of Stationary Random Fields
E Spodarev, E Shmileva, S Roth
Summer Academy ”Stochastic Analysis, Modelling and Simulation of Complex Structures“, 11-17 September, 2011
 
Detrended Fluctuation Analysis of multifractional Brownian motion
V. Anurag Setty, S. Sharma 
American Physical Society, APS March Meeting 2013.
 
Least-Squares Estimation of Multifractional Random Fields in a Hilbert-Valued Context
M.D. Ruiz-Medina, V.V. Anh, R.M. Espejo, J.M. Angulo and M.P. Frias
Journal of Optimization Theory and Applications, 2013
doi: 10.1007/s10957-013-0423-4
 
Identification of Nonstandard Multifractional
Brownian Motions under White Noise by Multiscale Local Variations of Its Sample Paths
K.I. Ahn and K. Lee
Mathematical Problems in Engineering, Volume 2013, Article ID 794130

 

Fractional Order Estimation Schemes for Fractional and Integer Order Systems with Constant and Variable Fractional Order Colored Noise
D. Sierociuk, P. Ziubinski
Circuits, Systems, and Signal Processing, 2014,DOI10.1007/s00034-014-9835-0

 

 

 

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