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Identification of a Locally Self-similar Gaussian Process by Using Convex Rearrangements

Author

Listed:
  • A. Philippe

    (U.F.R de Mathématiques Bât. M2, Université de Lille I)

  • E. Thilly

    (Université de Caen—Bât. S3)

Abstract

We propose a new approach for identifying a locally self-similar Gaussian process. The method is based on the asymptotic behavior of convex rearrangement obtained by Davydov and Thilly (2002). Some simulations illustrate the behavior of the resulting estimates in the particular case of the fractional Brownian motion.

Suggested Citation

  • A. Philippe & E. Thilly, 2002. "Identification of a Locally Self-similar Gaussian Process by Using Convex Rearrangements," Methodology and Computing in Applied Probability, Springer, vol. 4(2), pages 195-209, June.
    • Handle: RePEc:spr:metcap:v:4:y:2002:i:2:d:10.1023_a:1020645709273
    DOI: 10.1023/A:1020645709273
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    References listed on IDEAS

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    1. Coeurjolly, Jean-Francois, 2000. "Simulation and identification of the fractional Brownian motion: a bibliographical and comparative study," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 5(i07).
    2. Andrey Feuerverger & Peter Hall & Andrew T. A. Wood, 1994. "Estimation Of Fractal Index And Fractal Dimension Of A Gaussian Process By Counting The Number Of Level Crossings," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(6), pages 587-606, November.
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