Real harmonizable multifractional Lévy motions

Céline Lacaux

Annales de l'I.H.P. Probabilités et statistiques (2004)

  • Volume: 40, Issue: 3, page 259-277
  • ISSN: 0246-0203

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Lacaux, Céline. "Real harmonizable multifractional Lévy motions." Annales de l'I.H.P. Probabilités et statistiques 40.3 (2004): 259-277. <http://eudml.org/doc/77810>.

@article{Lacaux2004,
author = {Lacaux, Céline},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {Local asymptotic self-similarity; Multifractional function; Identification},
language = {eng},
number = {3},
pages = {259-277},
publisher = {Elsevier},
title = {Real harmonizable multifractional Lévy motions},
url = {http://eudml.org/doc/77810},
volume = {40},
year = {2004},
}

TY - JOUR
AU - Lacaux, Céline
TI - Real harmonizable multifractional Lévy motions
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2004
PB - Elsevier
VL - 40
IS - 3
SP - 259
EP - 277
LA - eng
KW - Local asymptotic self-similarity; Multifractional function; Identification
UR - http://eudml.org/doc/77810
ER -

References

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  2. [2] A. Ayache, J. Lévy Véhel, The generalized multifractional Brownian motion, Stat. Inference Stoch. Process.3 (1–2) (2000) 7-18, 19th Rencontres Franco–Belges de Statisticiens, Marseille, 1998. Zbl0979.60023
  3. [3] A. Ayache, J. Lévy Véhel, Identification de l'exposant de Hölder ponctuel d'un Mouvement Brownien Multifractionnaire Généralisé, Technical Report LSP-2002-02, Laboratoire de Statistique et de Probabilités, UMR C5583, Université Paul Sabatier, 2002. 
  4. [4] A. Benassi, P. Bertrand, S. Cohen, J. Istas, Identification of the Hurst index of a step fractional Brownian motion, Stat. Inference Stoch. Process.3 (1–2) (2000) 101-111, 19th Rencontres Franco–Belges de Statisticiens, Marseille, 1998. Zbl0982.60081
  5. [5] A. Benassi, S. Cohen, J. Istas, Identifying the multifractional function of a Gaussian process, Statist. Probab. Lett.39 (1998) 337-345. Zbl0931.60022MR1646220
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  7. [7] A. Benassi, S. Cohen, J. Istas, S. Jaffard, Identification of filtered white noises, Stoch. Process. Appl.75 (1998) 31-49. Zbl0932.60037MR1629014
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  11. [11] S. Mallat, A theory for multiresolution signal decomposition: the wavelet representation, IEEE Trans. PAMI11 (1989) 674-693. Zbl0709.94650
  12. [12] B. Mandelbrot, J.V. Ness, Fractional brownian motion, fractionnal noises and applications, Siam Rev.10 (1968) 422-437. Zbl0179.47801MR242239
  13. [13] R. Peltier, J. Lévy Véhel, Multifractional Brownian motion: definition and preliminary results, available on , http://www-syntim.inria.fr/fractales/. 
  14. [14] G. Samorodnitsky, M.S. Taqqu, Stable Non-Gaussian Random Processes, Chapman & Hall, New York, 1994. Zbl0925.60027MR1280932
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