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Nonhomogeneous fractional integration and multifractional processes

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  • Surgailis, Donatas

Abstract

Extending the recent work of Philippe et al. [A. Philippe, D. Surgailis, M.-C. Viano, Invariance principle for a class of non stationary processes with long memory, C. R. Acad. Sci. Paris, Ser. 1. 342 (2006) 269-274; A. Philippe, D. Surgailis, M.-C. Viano, Time varying fractionally integrated processes with nonstationary long memory, Theory Probab. Appl. (2007) (in press)] on time-varying fractionally integrated operators and processes with discrete argument, we introduce nonhomogeneous generalizations I[alpha]([dot operator]) and D[alpha]([dot operator]) of the Liouville fractional integral and derivative operators, respectively, where , is a general function taking values in (0,1) and satisfying some regularity conditions. The proof of D[alpha]([dot operator])I[alpha]([dot operator])f=f relies on a surprising integral identity. We also discuss properties of multifractional generalizations of fractional Brownian motion defined as white noise integrals and s.

Suggested Citation

  • Surgailis, Donatas, 2008. "Nonhomogeneous fractional integration and multifractional processes," Stochastic Processes and their Applications, Elsevier, vol. 118(2), pages 171-198, February.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:2:p:171-198
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    References listed on IDEAS

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    1. Ayache, Antoine & Lévy Véhel, Jacques, 2004. "On the identification of the pointwise Hölder exponent of the generalized multifractional Brownian motion," Stochastic Processes and their Applications, Elsevier, vol. 111(1), pages 119-156, May.
    2. Antoine Ayache & Jacques Vehel, 2000. "The Generalized Multifractional Brownian Motion," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 7-18, January.
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    Cited by:

    1. Loosveldt, L., 2023. "Multifractional Hermite processes: Definition and first properties," Stochastic Processes and their Applications, Elsevier, vol. 165(C), pages 465-500.
    2. Bardet, Jean-Marc & Surgailis, Donatas, 2013. "Nonparametric estimation of the local Hurst function of multifractional Gaussian processes," Stochastic Processes and their Applications, Elsevier, vol. 123(3), pages 1004-1045.
    3. Aloy Marcel & Dufrénot Gilles & Tong Charles Lai & Peguin-Feissolle Anne, 2013. "A smooth transition long-memory model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 281-296, May.
    4. Loboda, Dennis & Mies, Fabian & Steland, Ansgar, 2021. "Regularity of multifractional moving average processes with random Hurst exponent," Stochastic Processes and their Applications, Elsevier, vol. 140(C), pages 21-48.
    5. Antoine Ayache, 2013. "Continuous Gaussian Multifractional Processes with Random Pointwise Hölder Regularity," Journal of Theoretical Probability, Springer, vol. 26(1), pages 72-93, March.

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