Abonnement à la biblothèque: Guest
Journal of Automation and Information Sciences

Publication de 12  numéros par an

ISSN Imprimer: 1064-2315

ISSN En ligne: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

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

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

RÉSUMÉ

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.

RÉFÉRENCES
  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.

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

Portail numérique Bibliothèque numérique eBooks Revues Références et comptes rendus Collections Prix et politiques d'abonnement Begell House Contactez-nous Language English 中文 Русский Português German French Spain