Estimation of the local Hurst function of multifractional Brownian motion : A second difference increment ratio estimator
In this thesis, a specific type of stochastic processes displaying time-dependent regularity is studied. Specifically, multifractional Brownian motion processes are examined. Due to their properties, these processes have gained interest in various fields of research. An important aspect when modelin...
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| Format: | Others |
| Language: | English |
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Umeå universitet, Institutionen för matematik och matematisk statistik
2015
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:umu:diva-105770 |