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

Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion by Corinne Berzin, Alain Latour, José R. León.

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
Main Authors: Berzin, Corinne (Author), Latour, Alain (Author), León, José R. (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Cham : Springer International Publishing : Imprint: Springer, 2014.
Edition:1st ed. 2014.
Series:Lecture Notes in Statistics, 216
Springer eBook Collection.
Subjects:
Statistics .
Probabilities.
Computer simulation.
Electronic resources (E-books)
Online Access:Click to view e-book
Holy Cross Note:Loaded electronically.
Electronic access restricted to members of the Holy Cross Community.
Table of Contents:
  • 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.

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