One of the most intriguing facets of the climate system is that it exhibits variability across all
temporal and spatial scales; pronounced examples are temperature and precipitation. The …

Purpose: Computerized detection of prostate cancer on T2‐weighted MR images. Methods:
The authors combined fractal and multifractal features to perform textural analysis of the …

Statistical inference for rough volatility: Minimax theory Page 1 The Annals of Statistics 2024,
Vol. 52, No. 4, 1277–1306 https://doi.org/10.1214/23-AOS2343 © Institute of Mathematical …

Fractals everywhere! This is the title of a bestseller, but it is also a reality: Fractals are really
everywhere. What a change since the days of Charles Hermite declaring “I turn away with …

In recent years, there has been a substantive interest in rough volatility models. In this class
of models, the local behavior of stochastic volatility is much more irregular than …

The increasing empirical evidence against the paradigm that stock markets behave
efficiently suggests to relax the too restrictive dichotomy between efficient and inefficient …

We estimate the Hurst parameter H∈(0, 1) of a fractional Brownian motion from discrete
noisy data, observed along a high-frequency sampling scheme. When the intensity τ n of the …

We consider the stochastic volatility model with B a Brownian motion and σ of the form
where WH is a fractional Brownian motion, independent of the driving Brownian motion B …

We combine two existing estimators of the local Hurst exponent to improve both the
goodness of fit and the computational speed of the algorithm. An application with simulated …

We consider the solution of an additive fractional stochastic differential equation (SDE) and,
leveraging continuous observations of the process, introduce a methodology for estimating …