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~institution:"Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska"
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Cholesky factorization
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Pickands constant
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change of measure
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fGp algorithm
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fractional Brownian motion
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Burnecki, Krzysztof
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Michna, Zbigniew
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Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Simulation of Pickands constants
Burnecki, Krzysztof
;
Michna, Zbigniew
-
Hugo Steinhaus Center for Stochastic Methods, …
-
2002
simulate
fractional
Brownian
motion
. Finally, we compare the approximations with a theoretical hypothesis and a recently …
Persistent link: https://www.econbiz.de/10009003623
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