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Visual information and expert’s idea in Hurst index estimation of the fractional Brownian motion using a diffusion type approximation
An approximation of the fractional Brownian motion based on the Ornstein-Uhlenbeck process is used to obtain an asymptotic likelihood function. Two estimators of the Hurst index are then presented in the likelihood approach. The first estimator is produced according to the observed values of the sam...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Nature Publishing Group
2017
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5307349/ https://www.ncbi.nlm.nih.gov/pubmed/28195153 http://dx.doi.org/10.1038/srep42482 |