2 papers
math.PR2025
On Construction, Properties and Simulation of Haar-Based Multifractional Processes
Antoine Ayache, Andriy Olenko, Nemini Samarakoon
Multifractional processes extend the concept of fractional Brownian motion by replacing the constant Hurst parameter with a time-varying Hurst function. This extension allows for m…
math.ST2024
On filter-type estimation of discretely sampled cyclic long-memory processes
Antoine Ayache, Serhii Kravchenko, Andriy Olenko
The generalized filtered method of moments was developed in the recent papers by Alomari et al., 2020, and Ayache et al., 2022. It used functional data obtained from continuously s…