28 citations
2 papers
math.ST2010★ 2 cited
Filtered derivative with p-value method for multiple change-points detection
Pierre R Bertrand, Mehdi Fhima
This paper deals with off-line detection of change points for time series of independent observations, when the number of change points is unknown. We propose a sequential analysis…
stat.ME2009★ 28 cited
A process very similar to multifractional Brownian motion
Antoine Ayache, Pierre R. Bertrand
In Ayache and Taqqu (2005), the multifractional Brownian (mBm) motion is obtained by replacing the constant parameter of the fractional Brownian motion (fBm) by a smooth enough…