Statistical Inference in Fractional Brownian Motion
|
Meysam Moghimbeigi * |
|
|
Abstract: (7826 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]
(1868 Downloads)
|
Type of Study: Research |
Subject:
Probability & Stochastic Processes Received: 2015/02/3 | Accepted: 2016/04/16 | Published: 2017/03/12
|
|
|
|