Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths
| Year of publication: |
2001
|
|---|---|
| Authors: | Coeurjolly, Jean-François |
| Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 4.2001, 2, p. 199-227
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| Publisher: |
Springer |
| Subject: | fractional Brownian motion | fractional Gaussian noise | discrete variations | consistency | self-similarity |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005616011