Overfitting of Hurst estimators for multifractional Brownian motion : a fitting test advocating simple models
Year of publication: |
2018
|
---|---|
Authors: | Bertrand, Pierre Raphaël ; Combes, Jean-Louis ; Dury, Marie-Eliette ; Hadouni, Doha |
Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 7.2018, 1/2, p. 31-49
|
Subject: | Fractional Brownian motion (fBm) | multifractional Brownian motion (mBm) | time-varying Hurst index | wavelet series expansion | finance time series | Theorie | Theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis |
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