Type I and type II fractional Brownian motions: a reconsideration

DOI10.1016/j.csda.2008.11.008zbMath1453.62077OpenAlexW2113515280WikidataQ57933589 ScholiaQ57933589MaRDI QIDQ961404

B. E. Eshmatov

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://people.exeter.ac.uk/RePEc/dpapers/DP0816.pdf

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22)

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Uses Software

• Ox
• ARFIMA
• TSM

Cites Work

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