Introducing an interpolation method to efficiently implement an approximate maximum likelihood estimator for the Hurst exponent (Q5739840)
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scientific article; zbMATH DE number 6600922
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| English | Introducing an interpolation method to efficiently implement an approximate maximum likelihood estimator for the Hurst exponent |
scientific article; zbMATH DE number 6600922 |
Statements
INTRODUCING AN INTERPOLATION METHOD TO EFFICIENTLY IMPLEMENT AN APPROXIMATE MAXIMUM LIKELIHOOD ESTIMATOR FOR THE HURST EXPONENT (English)
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5 July 2016
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discrete-time fractional Brownian motion
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discrete-time fractional Gaussian noise
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Hurst exponent
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maximum likelihood estimator
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approximate maximum likelihood estimator
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numerical example
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Levinson algorithm
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Cholesky decomposition
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variance
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covariance
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0.7958295345306396
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0.7643744349479675
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0.7625910043716431
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0.7247031927108765
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0.7140554189682007
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