SimEstFBM

swMATH26366MaRDI QIDQ38097

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Related Items (44)

Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets ⋮ An integrate-and-fire model to generate spike trains with long-range dependence ⋮ Pricing geometric Asian rainbow options under the mixed fractional Brownian motion ⋮ Simulation paradoxes related to a fractional Brownian motion with small Hurst index ⋮ A fast algorithm for simulation of rough volatility models ⋮ A generative model for fBm with deep ReLU neural networks ⋮ Identification of the Multivariate Fractional Brownian Motion ⋮ A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY ⋮ Integral representation of generalized grey Brownian motion ⋮ On a fractional stochastic Hodgkin–Huxley model ⋮ Asymptotic normality of a Hurst parameter estimator based on the modified Allan variance ⋮ Quantification of fracture roughness by change probabilities and Hurst exponents ⋮ Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes ⋮ Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size ⋮ Modeling and forecasting realized volatility with the fractional Ornstein-Uhlenbeck process ⋮ Forecasting of time data with using fractional Brownian motion ⋮ Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter ⋮ Estimation of ordinal pattern probabilities in Gaussian processes with stationary increments ⋮ Statistical test for fractional Brownian motion based on detrending moving average algorithm ⋮ Data driven sampling of oscillating signals ⋮ Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise ⋮ Expectiles for subordinated Gaussian processes with applications ⋮ Maximum likelihood estimators of a long-memory process from discrete observations ⋮ The rate of convergence of Hurst index estimate for the stochastic differential equation ⋮ Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles ⋮ Convergence of numerical solutions for a class of stochastic age-dependent capital system with fractional Brownian motion ⋮ Multilevel Monte Carlo for stochastic differential equations with additive fractional noise ⋮ Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion ⋮ Simulation of generalized fractional Brownian motion in \(C([0,T)\)] ⋮ Innovative methods for modeling of scale invariant processes ⋮ On a covariance structure of some subset of self-similar Gaussian processes ⋮ Approximation schemes associated to a differential equation governed by a Hölderian function; the case of fractional Brownian motion. ⋮ Estimating the parameters of a fractional Brownian motion by discrete variations of its sample paths ⋮ Fast and exact synthesis of some operator scaling Gaussian random fields ⋮ An approximation result and Monte Carlo simulation of the adapted solution of the one-dimensional backward stochastic differential equation ⋮ Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion ⋮ Parameter identification for the discretely observed geometric fractional Brownian motion ⋮ Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion ⋮ Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix ⋮ Series representation and simulation of multifractional Lévy motions ⋮ Simulation of a fractional Brownian motion in the space $L_p([0,T)$] ⋮ Numerics for the fractional Langevin equation driven by the fractional Brownian motion ⋮ Parameter estimation for discretized geometric fractional Brownian motions with applications in Chinese financial markets ⋮ Asymptotic behavior of mixed power variations and statistical estimation in mixed models

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