Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion:
Gespeichert in:
| Hauptverfasser: | , , |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Cham [u.a.]
Springer
2014
|
| Schriftenreihe: | Lecture notes in statistics
216 |
| Schlagworte: | |
| Online-Zugang: | BTU01 FRO01 TUM01 UBA01 UBM01 UBT01 UBW01 UPA01 Volltext Inhaltsverzeichnis Abstract |
| Beschreibung: | 1 Online-Ressource |
| ISBN: | 9783319078748 9783319078755 |
| DOI: | 10.1007/978-3-319-07875-5 |
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Datensatz im Suchindex
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| adam_text | INFERENCE ON THE HURST PARAMETER AND THE VARIANCE OF DIFFUSIONS DRIVEN
BY FRACTIONAL BROWNIAN MOTION
/ BERZIN, CORINNE
: 2014
TABLE OF CONTENTS / INHALTSVERZEICHNIS
1. INTRODUCTION
2. PRELIMINARIES
3. ESTIMATION OF THE PARAMETERS
4. SIMULATION ALGORITHMS AND SIMULATION STUDIES
5. PROOFS OF ALL THE RESULTS
A. COMPLEMENTARY RESULTS
A.1. INTRODUCTION
A.2. PROOFS
B. TABLES AND FIGURES RELATED TO THE SIMULATION STUDIES
C. SOME PASCAL PROCEDURES AND FUNCTIONS
REFERENCES
INDEX
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
INFERENCE ON THE HURST PARAMETER AND THE VARIANCE OF DIFFUSIONS DRIVEN
BY FRACTIONAL BROWNIAN MOTION
/ BERZIN, CORINNE
: 2014
ABSTRACT / INHALTSTEXT
THIS BOOK IS DEVOTED TO A NUMBER OF STOCHASTIC MODELS THAT DISPLAY SCALE
INVARIANCE. IT PRIMARILY FOCUSES ON THREE ISSUES: PROBABILISTIC
PROPERTIES, STATISTICAL ESTIMATION AND SIMULATION OF THE PROCESSES
CONSIDERED. IT WILL BE OF INTEREST TO PROBABILITY SPECIALISTS, WHO WILL
FIND HERE AN UNCOMPLICATED PRESENTATION OF STATISTICS TOOLS, AND TO
THOSE STATISTICIANS WHO WANTS TO TACKLE THE MOST RECENT THEORIES IN
PROBABILITY IN ORDER TO DEVELOP CENTRAL LIMIT THEOREMS IN THIS CONTEXT;
BOTH GROUPS WILL ALSO BENEFIT FROM THE SECTION ON SIMULATION. ALGORITHMS
ARE DESCRIBED IN GREAT DETAIL, WITH A FOCUS ON PROCEDURES THAT IS NOT
USUALLY FOUND IN MATHEMATICAL TREATISES. 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. READERS WILL ALSO FIND ELEGANT AND NEW PROOFS FOR ALMOST SURE
CONVERGENCE. THE USE OF DIFFUSION MODELS DRIVEN BY FRACTIONAL NOISE HAS
BEEN POPULAR FOR MORE THAN TWO DECADES NOW. THIS POPULARITY IS DUE BOTH
TO THE MATHEMATICS ITSELF AND TO ITS FIELDS OF APPLICATION. WITH REGARD
TO THE LATTER, FRACTIONAL MODELS ARE USEFUL FOR MODELING REAL-LIFE
EVENTS SUCH AS VALUE ASSETS IN FINANCIAL MARKETS, CHAOS IN QUANTUM
PHYSICS, RIVER FLOWS THROUGH TIME, IRREGULAR IMAGES, WEATHER EVENTS, AND
CONTAMINANT DIFFUS ION PROBLEMS
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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| discipline | Mathematik |
| doi_str_mv | 10.1007/978-3-319-07875-5 |
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| spelling | Berzin, Corinne Verfasser (DE-588)1061153266 aut Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion Corinne Berzin ; Alain Latour ; José R. León Cham [u.a.] Springer 2014 1 Online-Ressource txt rdacontent c rdamedia cr rdacarrier Lecture notes in statistics 216 Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Gebrochene Brownsche Bewegung (DE-588)4780019-7 gnd rswk-swf Electronic book text Gebrochene Brownsche Bewegung (DE-588)4780019-7 s Stochastische Analysis (DE-588)4132272-1 s 1\p DE-604 Latour, Alain Verfasser (DE-588)1061153487 aut León, José R. Verfasser (DE-588)1061153878 aut Lecture notes in statistics 216 (DE-604)BV036592911 216 https://doi.org/10.1007/978-3-319-07875-5 Verlag Volltext Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027638115&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027638115&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Berzin, Corinne Latour, Alain León, José R. Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion Lecture notes in statistics Stochastische Analysis (DE-588)4132272-1 gnd Gebrochene Brownsche Bewegung (DE-588)4780019-7 gnd |
| subject_GND | (DE-588)4132272-1 (DE-588)4780019-7 |
| title | Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion |
| title_auth | Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion |
| title_exact_search | Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion |
| title_full | Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion Corinne Berzin ; Alain Latour ; José R. León |
| title_fullStr | Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion Corinne Berzin ; Alain Latour ; José R. León |
| title_full_unstemmed | Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion Corinne Berzin ; Alain Latour ; José R. León |
| title_short | Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion |
| title_sort | inference on the hurst parameter and the variance of diffusions driven by fractional brownian motion |
| topic | Stochastische Analysis (DE-588)4132272-1 gnd Gebrochene Brownsche Bewegung (DE-588)4780019-7 gnd |
| topic_facet | Stochastische Analysis Gebrochene Brownsche Bewegung |
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| volume_link | (DE-604)BV036592911 |
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