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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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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