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Piecewise parameterised Markov random fields for semi-local Hurst estimation
Semi-local Hurst estimation is considered by incorporating a Markov random field model to constrain a wavelet-based pointwise Hurst estimator. This results in an estimator which is able to exploit the spatial regularities of a piecewise parametric varying Hurst parameter. The pointwise estimates are jointly inferred along with the parametric form …