Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method (Q2349676)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 6446694
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method |
scientific article; zbMATH DE number 6446694 |
Statements
Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method (English)
0 references
17 June 2015
0 references
stochastic differential equations
0 references
fractional Brownian motion
0 references
Hurst parameter
0 references
conic multivariate adaptive regression splines
0 references
0.91673243
0 references
0.91358346
0 references
0.9135496
0 references
0 references
0 references
0.90138197
0 references
0.8988062
0 references
0.89698327
0 references
0.8933157
0 references
