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
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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
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Measuring the roughness of random paths by increment ratios
Jean-Marc Bardet and Donatas Surgailis
Bernoulli Volume 17, Number 2 (2011), 749-780
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Identification of multifractional Brownian motion
Jean-Francois Coeurjolly
Bernoulli 11(6), 2005, 987-1008
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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
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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
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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
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Identifying the multifractional function of a Gaussian process
Albert Benassi , Serge Cohen , Jacques Istas
Statistics & Probability Letter, 39(4), 337-345, 1998
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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/1010.4849Tracking 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
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
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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
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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