Integrated Fractional white Noise as an Alternative to Multifractional Brownian Motion
2007 ◽
Vol 44
(02)
◽
pp. 393-408
◽
Keyword(s):
Multifractional Brownian motion is a Gaussian process which has changing scaling properties generated by varying the local Hölder exponent. We show that multifractional Brownian motion is very sensitive to changes in the selected Hölder exponent and has extreme changes in magnitude. We suggest an alternative stochastic process, called integrated fractional white noise, which retains the important local properties but avoids the undesirable oscillations in magnitude. We also show how the Hölder exponent can be estimated locally from discrete data in this model.
2007 ◽
Vol 44
(2)
◽
pp. 393-408
◽
2020 ◽
Vol 23
(01)
◽
pp. 2050007
2016 ◽
Vol 21
(1)
◽
pp. 113-140
◽
2016 ◽
Vol 19
(04)
◽
pp. 1650026
◽
Keyword(s):
2004 ◽
Vol 111
(1)
◽
pp. 119-156
◽
2021 ◽
Vol 1740
◽
pp. 012016