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  4. 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

af Corinne Berzin, Alain Latour, Jose R. Leon

indgår i Lecture Notes in Statistics serien

Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion af Corinne Berzin
Bag om Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the "Fourth Moment Theorem" is systematically used, as it produces rapid and helpful proofs that can serve as models for the future.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9783319078748
  • Indbinding:
  • Paperback
  • Sideantal:
  • 169
  • Udgivet:
  • 29. oktober 2014
  • Udgave:
  • 2014
  • Størrelse:
  • 158x235x11 mm.
  • Vægt:
  • 318 g.
  • 8-11 hverdage.
  • 23. november 2024
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The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the "Fourth Moment Theorem" is systematically used, as it produces rapid and helpful proofs that can serve as models for the future.

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