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Communication Dans Un Congrès Année : 2011

Fast change point analysis on the Hurst index of piecewise fractional Brownian motion

Résumé

In this presentation, we introduce a new method for change point analysis on the Hurst index for a piecewise fractional Brownian motion. We first set the model and the statistical problem. The proposed method is a transposition of the FDpV (Filtered Derivative with p-value) method introduced for the detection of change points on the mean in Bertrand et al. (2011) to the case of changes on the Hurst index. The underlying statistics of the FDpV technology is a new statistic estimator for Hurst index, so-called Increment Bernoulli Statistic (IBS). Both FDpV and IBS are methods with linear time and memory complexity, with respect to the size of the series. Thus the resulting method for change point analysis on Hurst index reaches also a linear complexity.
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Dates et versions

hal-00578532 , version 1 (21-03-2011)

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Mehdi Fhima, Arnaud Guillin, Pierre R., Bertrand. Fast change point analysis on the Hurst index of piecewise fractional Brownian motion. Journée de Statistiques 2011 (JDS 2011), May 2011, Tunis, Tunisia. pp.XXX. ⟨hal-00578532⟩
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