Bardet, Jean-Marc; Surgailis, Donatas - In: Stochastic Processes and their Applications 123 (2013) 3, pp. 1004-1045
A new nonparametric estimator of the local Hurst function of a multifractional Gaussian process based on the increment ratio (IR) statistic is defined. In a general frame, the point-wise and uniform weak and strong consistency and a multidimensional central limit theorem for this estimator are...