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Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion

Author: Corinne Berzin; Alain Latour; José Rafael León
Publisher: Cham [Switzerland] ; New York : Springer, [2014] ©2014
Series: Lecture notes in statistics (Springer-Verlag), v. 216
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the "Fourth Moment  Read more...

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Document Type: Book
All Authors / Contributors: Corinne Berzin; Alain Latour; José Rafael León
ISBN: 9783319078748 3319078747
OCLC Number: 880461737
Description: xxviii, 169 pages : illustrations (some color) ; 24 cm.
Contents: Introduction --
Preliminaries --
Estimation of the parameters --
Simulation algorithms and simulation studies --
Proofs of all the results --
Complimentary results --
Tables and figures related to the simulation studies --
Some Pascal procedures and functions.
Series Title: Lecture notes in statistics (Springer-Verlag), v. 216
Responsibility: Corinne Berzin, Alain Latour, José R. León.

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"I can recommend it to statisticians, specialists in probability and, in general, any person interested in simulations and algorithms for fBm. The book mainly develops estimation techniques for the Read more...

 
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