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Integrated Fractional white Noise as an Alternative to Multifractional Brownian Motion

  • Allan Sly (a1)

Abstract

Multifractional Brownian motion is a Gaussian process which has changing scaling properties generated by varying the local Hölder exponent. We show that multifractional Brownian motion is very sensitive to changes in the selected Hölder exponent and has extreme changes in magnitude. We suggest an alternative stochastic process, called integrated fractional white noise, which retains the important local properties but avoids the undesirable oscillations in magnitude. We also show how the Hölder exponent can be estimated locally from discrete data in this model.

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Copyright

Corresponding author

Postal address: Department of Statistics, University of California, 367 Evans Hall, Berkeley, CA 94720-3860, USA. Email address: allansly@gmail.com

References

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Integrated Fractional white Noise as an Alternative to Multifractional Brownian Motion

  • Allan Sly (a1)

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