4 papers
Modified wavelet variation for the Hermite processes
Laurent Loosveldt, Ciprian A. Tudor
We define an asymptotically normal wavelet-based strongly consistent estimator for the Hurst parameter of any Hermite processes. This estimator is obtained by considering a modifie…
Wavelet-Type Expansion of Generalized Hermite Processes with rate of convergence
Antoine Ayache, Julien Hamonier, Laurent Loosveldt
Wavelet-type random series representations of the well-known Fractional Brownian Motion (FBM) and many other related stochastic processes and fields have started to be introduced s…
Multifractional Hermite processes: definition and first properties
Laurent Loosveldt
We define multifractional Hermite processes which generalize and extend both multifractional Brownian motion and Hermite processes. It is done by substituting the Hurst parameter i…
On the pointwise regularity of the Multifractional Brownian Motion and some extensions
Céline Esser, Laurent Loosveldt
We study the pointwise regularity of the Multifractional Brownian Motion and in particular, we get the existence of slow points. It shows that a non self-similar process can still…