Parameter Identification for Drift Fractional Brownian Motions with Application to the Chinese Stock Markets
DOI10.1080/03610918.2013.849738zbMath1322.60041OpenAlexW2044215662MaRDI QIDQ5265826
Xi-Li Zhang, Wei-Guo Zhang, Wei-Lin Xiao
Publication date: 29 July 2015
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2013.849738
parameter identificationdiscrete-time observationsergodic theorystrong consistencyvariation methodChinese stock marketdrift fractional Brownian motion
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