Introduces a pointwise estimator for time-varying Hölder exponent via geometry accumulation integral G_Lambda(t) with proven consistency, explicit noise threshold, and CLT.
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Pointwise Hurst Estimation via Scale Accumulation: A Noise-Robust Approach for Rough Volatility
Introduces a pointwise estimator for time-varying Hölder exponent via geometry accumulation integral G_Lambda(t) with proven consistency, explicit noise threshold, and CLT.