INTRODUCING AN INTERPOLATION METHOD TO EFFICIENTLY IMPLEMENT AN APPROXIMATE MAXIMUM LIKELIHOOD ESTIMATOR FOR THE HURST EXPONENT (Q5739840)
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scientific article; zbMATH DE number 6600922
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | INTRODUCING AN INTERPOLATION METHOD TO EFFICIENTLY IMPLEMENT AN APPROXIMATE MAXIMUM LIKELIHOOD ESTIMATOR FOR THE HURST EXPONENT |
scientific article; zbMATH DE number 6600922 |
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INTRODUCING AN INTERPOLATION METHOD TO EFFICIENTLY IMPLEMENT AN APPROXIMATE MAXIMUM LIKELIHOOD ESTIMATOR FOR THE HURST EXPONENT (English)
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5 July 2016
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discrete-time fractional Brownian motion
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discrete-time fractional Gaussian noise
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Hurst exponent
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maximum likelihood estimator
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approximate maximum likelihood estimator
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numerical example
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Levinson algorithm
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Cholesky decomposition
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variance
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covariance
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