| 书目名称 | Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion |
| 编辑 | Corinne Berzin,Alain Latour,José R. León |
| 视频video | |
| 概述 | Of interest to mathematicians, engineers with basic knowledge in probability, statistics and stochastic processes.Simulation Algorithms and Pascal code are available.Elegance and completeness of the p |
| 丛书名称 | Lecture Notes in Statistics |
| 图书封面 |  |
| 描述 | .This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical estimation and simulation of the processes considered..It will be of interest to probability specialists, who will find here an uncomplicated presentation of statistics tools and to those statisticians who wants to tackle the most recent theories in probability in order to develop Central Limit Theorems in this context; both groups will also benefit from the section on simulation. Algorithms are described in great detail, with a focus on procedures that is not usually found in mathematical treatises. The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations..Concerning the proofs of the limit theorems, the “Fourth Moment Theorem” is systematically used, as it produces rapid and helpful proofs that can serve as models for the future. Readers will also find elegant and new proofs for almost sure convergence..The use of diffusion models driven by fractional noise has been popular for more than two decades now. This popularity is due both to the mathematics |
| 出版日期 | Book 2014 |
| 关键词 | Asymptotic properties of estimators; Fractional Brownian motion; Hypothesis testing; Limit theorem; Non |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-319-07875-5 |
| isbn_softcover | 978-3-319-07874-8 |
| isbn_ebook | 978-3-319-07875-5Series ISSN 0930-0325 Series E-ISSN 2197-7186 |
| issn_series | 0930-0325 |
| copyright | Springer International Publishing Switzerland 2014 |
发表于 2025-3-21 16:57:51
