Identification of Nonstandard Multifractional Brownian Motions under White Noise by Multiscale Local Variations of Its Sample Paths
Figure 3
Estimation of by K-var-VC with empirical 95% confidence intervals in blue is shown in (a) for no noise and (c) for SNR 10 when true . Similarly, estimation of by S-K-var in red is shown in (b) for no noise and (d) for SNR 10. S-K-var yields more stable and shorter confidence intervals.
