Kortas, Hedi; Dhifaoui, Zouhaier; Ammou, Samir Ben - In: Statistical Methods and Applications 21 (2012) 3, pp. 251-277
In this paper, we investigate the use of wavelet techniques in the study of the nth order fractional Brownian motion (n-fBm). First, we exploit the continuous wavelet transform’s capabilities in derivative calculation to construct a two-step estimator of the scaling exponent of the n-fBm...