4 citations · 12 across the 6 of their papers we have counts for
6 papers
Fast change point analysis on the Hurst index of piecewise fractional Brownian motion
Mehdi Fhima, Arnaud Guillin, Pierre R. Bertrand
In this presentation, we introduce a new method for change point analysis on the Hurst index for a piecewise fractional Brownian motion. We first set the model and the statistical…
Local estimation of the Hurst index of multifractional Brownian motion by Increment Ratio Statistic method
Pierre R. Bertrand, Mehdi Fhima, Arnaud Guillin
We investigate here the Central Limit Theorem of the Increment Ratio Statistic of a multifractional Brownian motion, leading to a CLT for the time varying Hurst index. The proofs a…
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…
Off-line detection of multiple change points with the Filtered Derivative with p-Value method
Pierre R. Bertrand, Mehdi Fhima, Arnaud Guillin
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…
Detection of Change--Points in the Spectral Density. With Applications to ECG Data
Pierre R. Bertrand, Gilles Teyssière, Gil Boudet +1
We propose a new method for estimating the change-points of heart rate in the orthosympathetic and parasympathetic bands, based on the wavelet transform in the complex domain and t…
Identification of the multiscale fractional Brownian motion with biomechanical applications
Jean-Marc Bardet, Pierre Bertrand
In certain applications, for instance biomechanics, turbulence, finance, or Internet traffic, it seems suitable to model the data by a generalization of a fractional Brownian motio…