In this presentation, we introduce a new method for change point analysis on
the Hurst index for a piecewise fractional Brownian motion. We first set the
model and the statistical problem. The proposed method is a transposition of
the FDpV (Filtered Derivative with p-value) method introduced for the detection
of change points on the mean in Bertrand et al. (2011) to the case of changes
on the Hurst index. The underlying statistics of the FDpV technology is a new
statistic estimator for Hurst index, so-called Increment Bernoulli Statistic
(IBS). Both FDpV and IBS are methods with linear time and memory complexity,
with respect to the size of the series. Thus the resulting method for change
point analysis on Hurst index reaches also a linear complexity