Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method

DOI10.1016/j.cam.2013.08.001zbMath1314.62079arXiv1302.3438OpenAlexW2067936740MaRDI QIDQ2349676

Ceren Vardar-Acar, Gerhard-Wilhelm Weber, Yeliz Yolcu-Okur, Fatma Yerlikaya Özkurt

Publication date: 17 June 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1302.3438

zbMATH Keywords

fractional Brownian motionstochastic differential equationsHurst parameterconic multivariate adaptive regression splines

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Uses Software

• CMARS

Cites Work

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• CMARS: a new contribution to nonparametric regression with multivariate adaptive regression splines supported by continuous optimization
• Milstein's type schemes for fractional SDEs
• Multivariate adaptive regression splines
• Numerical solution of SDE through computer experiments. Including floppy disk
• On parametric nonlinear programming
• Stochastic calculus for fractional Brownian motion and related processes.
• Statistical Inference for Fractional Diffusion Processes
• Stochastic Calculus for Fractional Brownian Motion and Applications
• Stochastic calculus with respect to Gaussian processes

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