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Regularity of multifractional moving average processes with random Hurst exponent

  • Published:2021-10 Issue: Volume:140 Page:21-48
  • ISSN:0304-4149
  • Container-title:Stochastic Processes and their Applications
  • language:en
  • Short-container-title:Stochastic Processes and their Applications

Author:

Loboda DennisORCID,Mies Fabian,Steland Ansgar

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference31 articles.

1. The Geometry of Random Fields;Adler,1981

2. Continuous Gaussian multifractional processes with random pointwise Hölder regularity;Ayache;J. Theoret. Probab.,2013

3. The covariance structure of multifractional Brownian motion, with application to long range dependence;Ayache,2000

4. A new multifractional process with random exponent;Ayache;Risk Decis. Anal.,2018

5. Multifractional processes with random exponent;Ayache;Publ. Mat.,2005

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1. Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics;Chaos: An Interdisciplinary Journal of Nonlinear Science;2024-04-01

2. Fair Volatility in the Fractional Stochastic Regularity Model;Mathematical and Statistical Methods for Actuarial Sciences and Finance;2024

3. Nonlinear biases in the roughness of a Fractional Stochastic Regularity Model;Chaos, Solitons & Fractals;2023-07

4. Nonlinearity of the volume–volatility correlation filtered through the pointwise Hurst–Hölder regularity;Communications in Nonlinear Science and Numerical Simulation;2023-06

5. Uniformly and strongly consistent estimation for the random Hurst function of a multifractional process;Latin American Journal of Probability and Mathematical Statistics;2023
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