Statistical inference with fractional Brownian motion

DOI10.1023/B:SISP.0000049124.59173.79zbMath1107.62355OpenAlexW1980646103MaRDI QIDQ1779000

Yuliya S. Mishura, Esko Valkeila, Alexander G. Kukush

Publication date: 20 June 2005

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:sisp.0000049124.59173.79

zbMATH Keywords

hypothesis testingfractional Brownian motionsgoodness-of-fit testvolatility estimation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Non-Markovian processes: hypothesis testing (62M07) Markov processes: hypothesis testing (62M02)

Related Items (4)

Statistical aspects of the fractional stochastic calculus ⋮ Parameter estimation for stochastic equations with additive fractional Brownian sheet ⋮ Regularity conditions and the maximum likelihood estimation in dynamical systems with small fractional Brownian noise ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets

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