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Asymptotic Normality of the Estimators for Fractional Brownian Motions with Discrete Data
Joint Authors
Sun, Lin
Yu, Xiaojian
Guan, Xuewei
Meng, Qinghao
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-7, 7 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-02-23
Country of Publication
Egypt
No. of Pages
7
Main Subjects
Abstract EN
This paper deals with the problem of estimating the Hurst parameter in the fractional Brownian motion when the Hurst index is greater than one half.
The estimation procedure is built upon the marriage of the autocorrelation approach and the maximum likelihood approach.
The asymptotic properties of the estimators are presented.
Using the Monte Carlo experiments, we compare the performance of our method to existing ones, namely, R/S method, variations estimators, and wavelet method.
These comparative results demonstrate that the proposed approach is effective and efficient.
American Psychological Association (APA)
Sun, Lin& Yu, Xiaojian& Guan, Xuewei& Meng, Qinghao. 2014. Asymptotic Normality of the Estimators for Fractional Brownian Motions with Discrete Data. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1013713
Modern Language Association (MLA)
Sun, Lin…[et al.]. Asymptotic Normality of the Estimators for Fractional Brownian Motions with Discrete Data. Abstract and Applied Analysis No. 2014 (2014), pp.1-7.
https://search.emarefa.net/detail/BIM-1013713
American Medical Association (AMA)
Sun, Lin& Yu, Xiaojian& Guan, Xuewei& Meng, Qinghao. Asymptotic Normality of the Estimators for Fractional Brownian Motions with Discrete Data. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-7.
https://search.emarefa.net/detail/BIM-1013713
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013713