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Kubilius, Kęstutis

Parameter Estimation in Fractional Diffusion Models

Kubilius, Kęstutis - Parameter Estimation in Fractional Diffusion Models, ebook

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ISBN: 9783319710303
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Table of contents

1. Description and Properties of the Basic Stochastic Models
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

2. The Hurst Index Estimators for a Fractional Brownian Motion
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

3. Estimation of the Hurst Index from the Solution of a Stochastic Differential Equation
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

4. Parameter Estimation in the Mixed Models via Power Variations
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

5. Drift Parameter Estimation in Diffusion and Fractional Diffusion Models
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

6. The Extended Orey Index for Gaussian Processes
Kęstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko

Keywords: Mathematics, Probability Theory and Stochastic Processes, Statistical Theory and Methods

Author(s)
 
 
Publisher
Springer
Publication year
2017
Language
en
Edition
1
Series
Bocconi & Springer Series
Category
Natural Sciences
Format
Ebook
eISBN (PDF)
9783319710303
Printed ISBN
978-3-319-71029-7

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