Fractional Brownian motion: difference iterative forecasting models
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Publication:2213636
DOI10.1016/j.chaos.2019.04.021zbMath1448.62136MaRDI QIDQ2213636
Carlo Cattani, Wan-Qing Song, Yuan-Yuan Li, Ming Li, Chi-Hung Chi
Publication date: 2 December 2020
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2019.04.021
fractional Brownian motion; long-range dependence; stochastic partial differential equation; difference equation; maximum likelihood algorithm
62M20: Inference from stochastic processes and prediction
60G22: Fractional processes, including fractional Brownian motion