Benassi, Albert; Cohen, Serge; Istas, Jacques - In: Statistics & Probability Letters 39 (1998) 4, pp. 337-345
Gaussian processes that are multifractional are studied in this paper. By multifractional processes we mean that they behave locally like a fractional Brownian motion, but the fractional index is no more a constant: it is a function. We introduce estimators of this multifractional function based...