1 research outputs found
Estimation of the Pointwise H\"older Exponent of Hidden Multifractional Brownian Motion Using Wavelet Coefficients
We propose a wavelet-based approach to construct consistent estimators of the
pointwise H\"older exponent of a multifractional Brownian motion, in the case
where this underlying process is not directly observed. The relative merits of
our estimator are discussed, and we introduce an application to the problem of
estimating the functional parameter of a nonlinear model