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

• Κύριοι συγγραφείς: Berzin, Corinne (Συγγραφέας), Latour, Alain (Συγγραφέας), León, José R. (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Cham : Springer International Publishing : Imprint: Springer, 2014.
• Σειρά: Lecture Notes in Statistics, 216
• Θέματα: 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...

Πίνακας περιεχομένων:

• 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.