A. Hamdouni

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The objective of this paper is to compare the performance of different estimators of Hurst index for multifractional Brownian motion (mBm), namely, Generalized Quadratic Variation (GQV) Estimator, Wavelet Estimator and Linear Regression GQV Estimator. Both estimators are used in the real financial dataset Nasdaq time series from 1971 to the 3rd quarter of(More)
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Atmospheric Chemistry and Physics Discussions This discussion paper is/has been under review for the journal Atmospheric Chemistry and Physics (ACP). Please refer to the corresponding final paper in ACP if available. Abstract The aim of this paper is to study the impacts of overshooting convection at a local scale on the water distribution in the tropical(More)
In this work we introduce sparse modelling for fractal like processes. We recall the stream which has leaded from fractional Brow-nian motion (fBm) to multifractional Brownian motion (mBm) and propose selecting a sparse-mBm. We based our point of view on statistical experiments and the observation of a numerical artifact : when we estimate the time varying(More)
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