47 citations · 49 across the 2 of their papers we have counts for
2 papers
math.PR2008★ 2 cited
Multifractal analysis in a mixed asymptotic framework
Emmanuel Bacry, Arnaud Gloter, Marc Hoffmann +1
Multifractal analysis of multiplicative random cascades is revisited within the framework of {\em mixed asymptotics}. In this new framework, statistics are estimated over a sample…
math.ST2007★ 47 cited
Estimation of the Hurst parameter from discrete noisy data
Arnaud Gloter, Marc Hoffmann
We estimate the Hurst parameter of a fractional Brownian motion from discrete noisy data observed along a high frequency sampling scheme. The presence of systematic experimenta…