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From self-similarity to local self-similarity: The estimation problem. (English) Zbl 0965.60073
Dekking, Michel (ed.) et al., Fractals: Theory and applications in engineering. London: Springer. 3-16 (1999).
The author extends the methods used to identify the $$H$$ order of a fractional Brownian motion to locally self-similar processes and as a particular case, the multifractional Brownian motion is studied. At the end, the modalities for the estimation of the multifractional Brownian method are shown.
For the entire collection see [Zbl 0936.00006].

MSC:
 60J65 Brownian motion 60G18 Self-similar stochastic processes
Keywords:
fractional Brownian motion