Bayesian model selection with fractional Brownian motion

DOI10.1088/1742-5468/AADB0EzbMath1456.62044arXiv1804.01365OpenAlexW2962751862WikidataQ129210269 ScholiaQ129210269MaRDI QIDQ3303352

Jens Krog, Lars Jacobsen, Frederik W. Lund, Daniel Wüstner, Michael A. Lomholt

Publication date: 11 August 2020

Published in: Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1804.01365

Mathematics Subject Classification ID

Applications of statistics to biology and medical sciences; meta analysis (62P10) Fractional processes, including fractional Brownian motion (60G22) Bayesian inference (62F15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (3)

Bayesian inference of scaled versus fractional Brownian motion ⋮ Learning physical properties of anomalous random walks using graph neural networks ⋮ Bayesian inference of Lévy walks via hidden Markov models

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• Probability Theory
• On drift parameter estimation in models with fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications

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