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Real harmonizable multifractional Lévy motions
- Source :
-
Annales de l'Institut Henri Poincare (B) Probability & Statistics . May2004, Vol. 40 Issue 3, p259-277. 19p. - Publication Year :
- 2004
-
Abstract
- In this paper, the class of real harmonizable multifractional Lévy motions (in short RHMLMs) is introduced. This class is a generalization of the multifractional Brownian motion (in short MBM) and of the class of real harmonizable fractional Lévy motions. One of its main interest is that it contains some non-Gaussian fields which share many properties with the MBM. RHMLMs have locally Hölder sample paths and their Hölder exponent is allowed to vary along the trajectory. Moreover these fields are locally asymptotically self-similar. The multifractional function can be estimated with the localized generalized quadratic variations. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 02460203
- Volume :
- 40
- Issue :
- 3
- Database :
- Academic Search Index
- Journal :
- Annales de l'Institut Henri Poincare (B) Probability & Statistics
- Publication Type :
- Academic Journal
- Accession number :
- 13115657
- Full Text :
- https://doi.org/10.1016/j.anihpb.2003.11.001