Identification of Nonstandard Multifractional Brownian Motions under White Noise by Multiscale Local Variations of Its Sample Paths

Figure 2

Illustrations of the estimators: in panel (a), variance 𝐶 was 2; in panel (b), variance 𝐶 was 4; the best match to the true 𝐻(𝑡) was the method of S-K-var among the four.

(a)

(b)