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:: Volume 10, Issue 2 (2-2017) ::
JSS 2017, 10(2): 317-327 Back to browse issues page
Statistical Inference in Fractional Brownian Motion
Meysam Moghimbeigi *
Abstract:   (8624 Views)

Statistical analysis of fractional Brownian motion process is one of the most important issues in the field of stochastic processes. The most important issue in the study of this process is statistical inference about the Hurst parametersof the fractional Brownian motion. One of the methods for estimation of aforementioned parameter is maximum likelihood approach. Due to the computational complexity of this approach to give a closed estimate, it is attempting to derive the parameter estimated through the numerical method approach. Also, the theoretical result of the paper is evaluated in a simulation study for different scenarios.

Keywords: Fractional Brownian motion, Hurst parameter, Maximum likelihood
Full-Text [PDF 1250 kb]   (2308 Downloads)    
Type of Study: Research | Subject: Probability & Stochastic Processes
Received: 2015/02/3 | Accepted: 2016/04/16 | Published: 2017/03/12
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Moghimbeigi M. Statistical Inference in Fractional Brownian Motion. JSS 2017; 10 (2) :317-327
URL: http://jss.irstat.ir/article-1-357-en.html

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Creative Commons License This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.
Volume 10, Issue 2 (2-2017) Back to browse issues page
مجله علوم آماری – نشریه علمی پژوهشی انجمن آمار ایران Journal of Statistical Sciences

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