Uniform Holder exponent of a stationary increments Gaussian process: Estimation starting from average values

作者：Peng Qidi^*

来源：Statistics & Probability Letters, 2011, 81(8): 1326-1335.

DOI：10.1016/j.spl.2011.03.036

• Gaussian processes
• Holder exponents
• Generalized increments
• Quadratic variations
• Central Limit Theorems

Let {X(t)}(t is an element of R) be a stationary increments Gaussian process satisfying some assumptions. By using the notion of generalized quadratic variation we build a strongly consistent and asymptotically normal estimator of the uniform Holder exponent of X, over a compact interval. Our estimator is obtained starting from average values of the process over a regular grid.

• 出版日期2011-8