Parameter identification in mixed Brownian-fractional Brownian motions using Powell's optimization algorithm
Pu Zhang; Qi Sun; Wei-Lin Xiao
| Year of publication: |
2014
|
|---|---|
| Authors: | Zhang, Pu ; Sun, Qi ; Xiao, Wei-lin |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 40.2014, p. 314-319
|
| Subject: | Maximum likelihood estimation | Mixed Brownian-fractional Brownian motion | Euler-Maruyama scheme | Powell's optimization algorithm | Theorie | Theory | Stochastischer Prozess | Stochastic process | Algorithmus | Algorithm | Maximum-Likelihood-Schätzung | Mathematische Optimierung | Mathematical programming |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010425614