A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion
From MaRDI portal
Publication:5353607
DOI10.1109/78.984735zbMath1369.60055MaRDI QIDQ5353607
Publication date: 8 September 2017
Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1109/78.984735
60J65: Brownian motion
Related Items
AN EFFICIENT MAXIMUM LIKELIHOOD ESTIMATOR FOR TWO-DIMENSIONAL FRACTIONAL BROWNIAN MOTION, MODELING NETWORK TRAFFIC USING CAUCHY CORRELATION MODEL WITH LONG-RANGE DEPENDENCE, INTRODUCING AN INTERPOLATION METHOD TO EFFICIENTLY IMPLEMENT AN APPROXIMATE MAXIMUM LIKELIHOOD ESTIMATOR FOR THE HURST EXPONENT, Efficiently implementing the maximum likelihood estimator for Hurst exponent, A fractional linear system view of the fractional Brownian motion