Author

P. Das

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Preprint Oct 2026

Measuring the roughness of a signal

We study the non-parametric estimation of the roughness of a path from discretely sampled observations. Our approach is based on the concept of normalized power variation of a path. The estimator identifies a variation index by comparing coarse increments with local sums of fine increments. We prove pathwise consistenc...

R. Cont, P. Das · 3 citations · ⚡2