TY - JOUR JF - JSS JO - JSS VL - 10 IS - 2 PY - 2017 Y1 - 2017/2/01 TI - Statistical Inference in Fractional Brownian Motion TT - استباط آماری در فرایند حرکت براونی کسری N2 - 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. SP - 317 EP - 327 AU - Moghimbeigi, Meysam AD - Department of Statistics, Tarbiat Modares University, Tehran, Iran. KW - Fractional Brownian motion KW - Hurst parameter KW - Maximum likelihood UR - http://jss.irstat.ir/article-1-357-en.html DO - 10.18869/acadpub.jss.10.2.317 ER -