Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
DOI10.1080/03610918.2013.849738zbMATH Open1322.60041OpenAlexW2044215662MaRDI QIDQ5265826FDOQ5265826
Xili Zhang, Wei-Guo Zhang, Wei-Lin Xiao
Publication date: 29 July 2015
Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2013.849738
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strong consistencyparameter identificationergodic theoryvariation methodChinese stock marketdiscrete-time observationsdrift fractional Brownian motion
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical methods (including Monte Carlo methods) (91G60) Fractional processes, including fractional Brownian motion (60G22) Stochastic models in economics (91B70)
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