Доступ предоставлен для: Guest
Journal of Automation and Information Sciences

Выходит 12 номеров в год

ISSN Печать: 1064-2315

ISSN Онлайн: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

An Iterative Algorithm of Estimating the Parameters of the Fractal Brownian Motion

Том 44, Выпуск 7, 2012, pp. 62-68
DOI: 10.1615/JAutomatInfScien.v44.i7.60
Get accessGet access

Краткое описание

For time series, which is a realization of the fractal Brownian motion (fBm), an algorithm of estimating its parameters: the Hurst exponent and its volatility, is proposed. The algorithm is illustrated on fBm data obtained by means of simulation.

ЛИТЕРАТУРА
  1. Shiryaev A.N., Essentials of stochastic financial mathematics.

  2. Mandelbrot B.B., van Ness I.W., The fractional Brownian motion, fractional noises and applications.

  3. Mandelbrot B.B, Wallis I.R., Computer experiments with fractional Gaussian noises.

  4. Beran J., Statistics for long-memory processes.

  5. Barndorff-Nielsen O.E., Mikosh Т., Resnick S.I., Levy processes: Theory and applications.

  6. Mishura Y., Stochastic calculus for fractional Brownian motion and related processes.

  7. Peltier R.F., Levy Vehel J., A new method for estimating the parameter of fractional Brownian motion.

  8. Coeurjolly J.-F., Simulation and identification of the fractional Brownian motion : A bibliographical and comparative study.

  9. Storer R.H., Scansaroli D.I., Dobric V., New estimators of the Hurst index for fractional Brownian motion.

ЦИТИРОВАНО В
  1. Sikora Grzegorz, Statistical test for fractional Brownian motion based on detrending moving average algorithm, Chaos, Solitons & Fractals, 116, 2018. Crossref

Портал Begell Электронная Бибилиотека e-Книги Журналы Справочники и Сборники статей Коллекции Цены и условия подписки Begell House Контакты Language English 中文 Русский Português German French Spain