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

• Main Authors: Berzin, Corinne (Author), Latour, Alain (Author), León, José R. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Cham : Springer International Publishing : Imprint: Springer, 2014.
• Series: Lecture Notes in Statistics, 216
• Subjects: Statistics.; Computer simulation.; Probabilities.; Statistical Theory and Methods.; Probability Theory and Stochastic Processes.; Simulation and Modeling.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences.

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...