Singularity functions for fractional processes : application to the fractional brownian sheet

Serge Cohen; Xavier Guyon; Olivier Perrin; Monique Pontier

Annales de l'I.H.P. Probabilités et statistiques (2006)

  • Volume: 42, Issue: 2, page 187-205
  • ISSN: 0246-0203

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Cohen, Serge, et al. "Singularity functions for fractional processes : application to the fractional brownian sheet." Annales de l'I.H.P. Probabilités et statistiques 42.2 (2006): 187-205. <http://eudml.org/doc/77892>.

@article{Cohen2006,
author = {Cohen, Serge, Guyon, Xavier, Perrin, Olivier, Pontier, Monique},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {fractional Brownian motion; quadratic variance},
language = {eng},
number = {2},
pages = {187-205},
publisher = {Elsevier},
title = {Singularity functions for fractional processes : application to the fractional brownian sheet},
url = {http://eudml.org/doc/77892},
volume = {42},
year = {2006},
}

TY - JOUR
AU - Cohen, Serge
AU - Guyon, Xavier
AU - Perrin, Olivier
AU - Pontier, Monique
TI - Singularity functions for fractional processes : application to the fractional brownian sheet
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2006
PB - Elsevier
VL - 42
IS - 2
SP - 187
EP - 205
LA - eng
KW - fractional Brownian motion; quadratic variance
UR - http://eudml.org/doc/77892
ER -

References

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  5. [5] S. Cohen, X. Guyon, O. Perrin, M. Pontier, Identification of an isometric transformation of the standard Brownian sheet, à paraître au J. Statist. Plann. Inference, 2004. Zbl1089.60047MR2253765
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  10. [10] J. Istas, G. Lang, Quadratic variations and estimation of the Hölder index of a Gaussian process, Ann. Inst. H. Poincaré33 (4) (1997) 407-436. Zbl0882.60032MR1465796
  11. [11] A. Kamont, On the fractional anisotropic Wiener field, Probab. Math. Statist.18 (1996) 85-98. Zbl0857.60046MR1407935
  12. [12] R. Klein, E. Giné, On quadratic variations of processes with Gaussian increments, Ann. Probab.3 (4) (1975) 716-721. Zbl0318.60031MR378070
  13. [13] S. Léger, Analyse stochastique de signaux multi-fractaux et estimations de paramètres, PhD thesis, Université d'Orléans, 2000. 
  14. [14] O. Perrin, Quadratic variation for Gaussian processes and application to time deformation, Stochastic Process. Appl.82 (2) (1999) 293-305. Zbl0997.60038MR1700011

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