Identification des paramètres d'un processus gaussien fractionnaire

 Access to full text

 Full (PDF)

1. [Ayache et Lévy-Vehel (1999)] AYACHE et LÉVY-VEHEL (1999). Generalized Multifractional Brownian Motion: definition and preliminary results. In. M. Dekking, J. Vehel, E. Lutton and C. Tricot (eds) Fractals : Theory and Application in Engineering. Springer-Verlag, 17-32. Zbl0964.60046MR1726365
2. [Ayache et Lévy-Vehel (2000)] AYACHE et LÉVY-VEHEL (2000). The generalized multifractional brownian motion. Stat. Inf. Stoc. Proc. (A paraître). Zbl0979.60023
3. [Bachelier (1900)] BACHELIER, L. (1900). Théorie de la spéculation. Gautier-Villars, Paris. Zbl31.0075.12JFM31.0075.12
4. [Benassi et al. (1996)] BENASSI, A., JAFFARD, S. et ROUX, D. (1996). Gaussian Processes and Pseudodifferential Elliptic operators. Revista Mathematica Iberoamericana. 13 (1) 19-90. Zbl0880.60053
5. [Benassi et al. (1998a)] BENASSI, A., COHEN, S., ISTAS, J. et JAFFARD, S. ( 1998a). Identification of Filtered White Noises. Stock. Proc. Appl. 75 31-49. Zbl0932.60037MR1629014
6. [Benassi et al. (1998b)] BENASSI, A., COHEN, S., ISTAS, J. ( 1998b). Identifying the multifractional function of a Gaussian proces. Stat. and Proba. Letters. 39 337-345. Zbl0931.60022MR1646220
7. [Benassi et al. (2000)] BENASSI A., BERTRAND, P., COHEN, S., et ISTAS, J. (2000). Identification of the Hurst index of a Step Fractional Brownian Motion. Stat. Inf. Stoc. Proc, Vol. 3, Issue 1/2, p. 101-111. Zbl0982.60081MR1819289
8. [Benassi et Istas (2001)] BENASSI et ISTAS, J. (2001). Processus autosimilaires. Fractals et Lois d'échelle, IC2, Abry, P. Goncalves, P. Lévy-Vehel Eds., Hermès (A paraître). 
9. [Beran (1994)] BERAN, J. (1994). Statistics for long memory process. Chapman and Hall. Zbl0869.60045MR1304490
10. [Bertrand (2000)] BERTRAND, P.; (2000). A local method for estimating change points: the hat-function. Statistics, Vol. 34, n° 3, p. 215-235. Zbl0955.62031MR1802728
11. [Black et Scholes (1973)] BLACK, F. et SCHOLES, M. (1973). The Pricing of Options and Corporate Liabilities. Journal of Political Economy. 81 7-54. Zbl1092.91524
12. [Cœurjolly (2000a)] CŒURJOLLY, J.-F. ( 2000a). Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths. Stat. Inf. Stoc. Proc. (à paraître). Zbl0984.62058
13. [Cœurjolly (2000b)] CŒURJOLLY, J.-F. ( 2000b). Simulation et identification of the fractional brownian motion: a bibliographical and comparative study. J. Stat. Software, Vol. 5. 
14. [Cœurjolly et Istas (2000)] CŒURJOLLY, J.-F. et ISTAS, J. (2000). Cramer-Rao bounds for Fractional Brownian Motions. Stat. and Proba. Letters. Zbl1092.62574
15. [Cohen (1999)] COHEN, S. (1999). From self-similarity to local self-similiraty: the estimation problem. In Fractals : Theory and Applications in Engineering, 3-16. M. Dekking, J. Lévy Véhel, E. Lutton and C. Tricot Eds, Springer Verlag. Zbl0965.60073MR1726364
16. [Cohen (2001)] COHEN, S. (2001). Processus localement auto-similaires. in Fractals et Lois d'échelle, IC2, Abry, P. Goncalves, P. Lévy-Véhel Eds., Hermès (A paraître). 
17. [Dalhaus (1989)] DAHLHAUS, R. (1989). Efficient parameter estimation for self-similar processes. Ann Statist. 17 (4) 1749-1766. Zbl0703.62091MR1026311
18. [Grenander (1981)] GRENANDER, U. (1981). Abstract inference. Wiley, New York. Zbl0505.62069MR599175
19. [Guyon et Léon (1989)] GUYON, X. (1989). Convergence en loi des h-variations d'un processus gaussien stationnaire. Ann Inst. Poincaré. 25 265-282. Zbl0691.60017MR1023952
20. [Hall et al. (1994)] HALL, P., WOOD, A. et FEUERVERGER (1994). Estimation of fractal index and fractal dimension of a Gaussian process by counting the number of level crossings. J. Time Ser. Anal. 6 587-606. Zbl0815.62060MR1312323
21. [Hall et Wood (1993)] HALL, P., WOOD, A. (1993). On the performance of box-counting estimators of fractal dimension. Biometrika. 80 246-252. Zbl0769.62062MR1225230
22. [Istas (1996)] ISTAS, J.Estimating the singularity function of a gaussian process with applications. Scand. J. Statist. 23 (5) 581-596. Zbl0898.62106MR1439713
23. [Istas et Lang (1994)] ISTAS, J. et LANG, G. (1994). Variations quadratiques et estimation de l'exposant de Holder local d'un processus gaussien. Cr. Acad. Sc. Paris, Série I. 319 201-206. Zbl0803.60038MR1288403
24. [Istas et Lang (1997)] ISTAS, J. et LANG, G. (1997). Quadratic variations and estimation of the Holder index of a gaussian process. Ann. Inst. Poincaré 33 (4) 407-436. Zbl0882.60032MR1465796
25. [Kolmogorov (1940)] KOLMOGOROV, A. (1940). Wienersche und einige andere interessante Kurcen im Hilbertsche Raum. (German). C; R. (Dokl) Acad. Sci. URSS.26 115-118. Zbl0022.36001MR3441JFM66.0552.03
26. [Léger et Pontier (1999)] LÉGER, S. et PONTIER, M. (1999). Drap Brownien fractionnaire. C.R. Acad. Sc. Paris, Série I. 329 893-898. Zbl0945.60047MR1728004
27. [Mandelbrot et Van Ness (1968)] MANDELBROT, J. et VAN NESS, J. (1968). Fractional Brownian Motions, Fractional Noises and Applications. SIA M Review. 10 422-437. Zbl0179.47801MR242239
28. [Meyer (1990)] MEYER, Y. (1990). Ondelettes et Opérateurs. volume 1. Hermann, Paris. Zbl0694.41037MR1085487
29. [Neveu (1968)] NEVEU, J. (1968). Processus alatoires gaussiens. Presses de l'Université de Montréal, SMS. Zbl0192.54701MR272042
30. [Peltier et Lévy-Véhel (1994)] PELTIER, R. et LéVY-VéHEL, J. (1994). A new method for estimating the parameter of fractional brownian motion. Rapport de recherches 2396, 1-40, disponible sur http://www-syntim.inria.fr/fractales/. 

1. Céline Lacaux, Real harmonizable multifractional Lévy motions