Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical estimation and simulation of the processes considered. It will be of interest to probability specialists, who will find here an uncomplicat...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Berzin, Corinne (Autor), Latour, Alain (Autor), León, José R. (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Cham : Springer International Publishing : Imprint: Springer, 2014.
Edición:1st ed. 2014.
Colección:Lecture Notes in Statistics, 216
Temas:
Statistics .
Probabilities.
Computer simulation.
Statistical Theory and Methods.
Probability Theory.
Computer Modelling.
Statistics in Business, Management, Economics, Finance, Insurance.
Statistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 1. Introduction
  • 2. Preliminaries
  • 3. Estimation of the Parameters
  • 4. Simulation Algorithms and Simulation Studies
  • 5. Proofs of all the results
  • A. Complementary Results
  • A.1. Introduction
  • A.2. Proofs
  • B. Tables and Figures Related to the Simulation Studies
  • C. Some Pascal Procedures and Functions
  • References
  • Index.

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