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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...
| Autores principales: | , , |
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| Lenguaje: | eng |
| Publicado: |
Springer
2014
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| Materias: | |
| Acceso en línea: | https://dx.doi.org/10.1007/978-3-319-07875-5 http://cds.cern.ch/record/1968832 |