Estimating the \(p\)-variation index of a sample function: an application to financial data set (Q1610849)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating the \(p\)-variation index of a sample function: an application to financial data set |
scientific article |
Statements
Estimating the \(p\)-variation index of a sample function: an application to financial data set (English)
0 references
20 August 2002
0 references
The authors study a roughness of sample functions of continuous time stochastic processes with special emphasize on processes which could be applied in financial models. They propose a method of estimating the \(p\)-variation index of a function based on the metric entropy index of its graph. A simulation study of the method is given and also an application to real financial data.
0 references
estimation
0 references
sample functions
0 references
\(p\)-variation
0 references
box-counting index
0 references
financial data
0 references
