Benassi, Albert; Cohen, Serge; Istas, Jacques; Jaffard, … - In: Stochastic Processes and their Applications 75 (1998) 1, pp. 31-49
In this paper, a class of Gaussian processes, having locally the same fractal properties as fractional Brownian motion, is studied. Our aim is to give estimators of the relevant parameters of these processes from one sample path. A time dependency of the integrand of the classical Wiener...