STATISTICAL INFERENCE IN FRACTIONAL BROWNIAN MOTION

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MOGHIM BEIGI MEYSAM

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Journal: JOURNAL OF STATISTICAL SCIENCES Year:2017 | Volume:10 | Issue:2 Page(s): 317-327

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Information Journal Paper

Title

STATISTICAL INFERENCE IN FRACTIONAL BROWNIAN MOTION

Author(s)

MOGHIM BEIGI MEYSAM | Issue Writer Certificate

Keywords

FRACTIONAL BROWNIAN MOTIONQ2

HURST PARAMETERQ2

MAXIMUM LIKELIHOODQ2

Abstract

Statistical analysis of FRACTIONAL BROWNIAN MOTION process is one of the most important issues in the field of stochastic processes. The most important issue in the study of this process is statistical inference about the HURST PARAMETERs of the FRACTIONAL BROWNIAN MOTION. One of the methods for estimation of aforementioned parameter is MAXIMUM LIKELIHOOD approach. Due to the computational complexity of this approach to give a closed estimate, it is attempting to derive the parameter estimated through the numerical method approach. Also, the theoretical result of the paper is evaluated in a simulation study for different scenarios.

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APA: Copy

MOGHIM BEIGI, MEYSAM. (2017). STATISTICAL INFERENCE IN FRACTIONAL BROWNIAN MOTION. JOURNAL OF STATISTICAL SCIENCES, 10(2 ), 317-327. SID. https://sid.ir/paper/124155/en

Vancouver: Copy

MOGHIM BEIGI MEYSAM. STATISTICAL INFERENCE IN FRACTIONAL BROWNIAN MOTION. JOURNAL OF STATISTICAL SCIENCES[Internet]. 2017;10(2 ):317-327. Available from: https://sid.ir/paper/124155/en

IEEE: Copy

MEYSAM MOGHIM BEIGI, “STATISTICAL INFERENCE IN FRACTIONAL BROWNIAN MOTION,” JOURNAL OF STATISTICAL SCIENCES, vol. 10, no. 2 , pp. 317–327, 2017, [Online]. Available: https://sid.ir/paper/124155/en

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