Fractional Brownian motion: difference iterative forecasting models
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Cites work
- scientific article; zbMATH DE number 5946386 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- scientific article; zbMATH DE number 847242 (Why is no real title available?)
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- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- An approximate approach to fractional analysis for finance
- Averaged periodogram estimation of long memory
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Estimating long-range dependence in the presence of periodicity: An empirical study
- Estimation of Hurst exponent revisited
- Extremal behavior of heavy-tailed ON-periods in a superposition of ON/OFF processes
- FARIMA with stable innovations model of Great Salt Lake elevation time series
- Fractal time series -- A tutorial review
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional Brownian motion with variable Hurst parameter: definition and properties
- Fractional differencing
- Generalized Cauchy model of sea level fluctuations with long-range dependence
- Itô's formula with respect to fractional Brownian motion and its application
- Modeling autocorrelation functions of self-similar teletraffic in communication networks based on optimal approximation in Hilbert space
- Network heavy traffic modeling using α-stable self-similar processes
- On the long-range dependence of fractional Brownian motion
- On the representation of fractional Brownian motion as an integral with respect to (dt)^a
- Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
- Record length requirement of long-range dependent teletraffic
- Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
- Wavelet analysis and synthesis of fractional Brownian motion
- Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
Cited in
(10)- Fractional Lévy stable motion: finite difference iterative forecasting model
- Parameter identification of the Black-Scholes model driven by multiplicative fractional Brownian motion
- APPLICATION OF FRACTAL DIMENSION OF FRACTIONAL BROWNIAN MOTION TO SUPPLY CHAIN FINANCING AND OPERATIONAL COMPREHENSIVE DECISION-MAKING
- An entropy-based estimator of the Hurst exponent in fractional Brownian motion
- Indirect adaptive inverse control synthesis via fractional least mean square algorithm
- Generalized fractional Gaussian noise and its application to traffic modeling
- Fractal teletraffic delay bounds in computer networks
- Forecasting of time data with using fractional Brownian motion
- Long-range dependence and heavy tail characteristics for remaining useful life prediction in rolling bearing degradation
- Optimal control of non-instantaneous impulsive second-order stochastic McKean-Vlasov evolution system with Clarke subdifferential
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