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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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Berzin, Corinne (Author), Latour, Alain (Author), León, José R. (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: Cham : Springer International Publishing : Imprint: Springer, 2014.
Edition:1st ed. 2014.
Series:Lecture Notes in Statistics, 216
Subjects:
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.
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