INTRODUCING AN INTERPOLATION METHOD TO EFFICIENTLY IMPLEMENT AN APPROXIMATE MAXIMUM LIKELIHOOD ESTIMATOR FOR THE HURST EXPONENT

DOI10.1142/S0218348X15500450zbMath1342.65024MaRDI QIDQ5739840

Yen-Ching Chang

Publication date: 5 July 2016

Published in: Fractals (Search for Journal in Brave)

zbMATH Keywords

numerical exampleLevinson algorithmvariancemaximum likelihood estimatorHurst exponentcovarianceapproximate maximum likelihood estimatorCholesky decompositiondiscrete-time fractional Brownian motiondiscrete-time fractional Gaussian noise

Mathematics Subject Classification ID

Point estimation (62F10) Numerical interpolation (65D05) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (1)

AN EFFICIENT MAXIMUM LIKELIHOOD ESTIMATOR FOR TWO-DIMENSIONAL FRACTIONAL BROWNIAN MOTION

Uses Software

• longmemo

Cites Work

• Application of the Hurst exponent in ecology
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications
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