most citedFast change point analysis on the Hurst index of piecewise fractional Brownian motion

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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…