Bayesian estimation of the Hurst parameter of fractional Brownian motion

DOI10.1080/03610918.2015.1130835zbMath1377.62090OpenAlexW2564108327MaRDI QIDQ5373892

Chen-Yueh Chen, Yen-Kuang Lin, Khalil Shafie

Publication date: 27 October 2017

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2015.1130835

zbMATH Keywords

Bayesian analysisfractional Brownian motionfractal dimensionHurst parameter

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Fractional processes, including fractional Brownian motion (60G22) Bayesian inference (62F15)

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