4 citations · 5 across the 2 of their papers we have counts for
2 papers
math.ST2011★ 4 cited
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…
math.PR2010★ 1 cited
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…