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Kubilius, Kęstutis

Parameter Estimation in Fractional Diffusion Models

Kubilius, Kęstutis - Parameter Estimation in Fractional Diffusion Models, e-bok

122,75€

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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

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

Författare
 
 
Utgivare
Springer
Utgivningsår
2017
Språk
en
Utgåva
1
Serie
Bocconi & Springer Series
Sidantal
19 sidor
Kategori
Naturvetenskaper
Format
E-bok
eISBN (PDF)
9783319710303
Tryckt ISBN
978-3-319-71029-7

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