Estimating the Hurst effect and its application in monitoring clinical trials
DOI10.1016/S0167-9473(03)00085-9zbMATH Open1429.62559MaRDI QIDQ956853FDOQ956853
Authors: D. Lai 
Publication date: 26 November 2008
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Recommendations
clinical trialsmaximum likelihood methodfractional Brownian motionHurst coefficientsimulation studiessymptotic normality
Applications of statistics to biology and medical sciences; meta analysis (62P10) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22)
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Cited In (17)
- Group sequential tests under fractional Brownian motion in monitoring clinical trials
- Asymptotic normality of the estimators for fractional Brownian motions with discrete data
- Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
- Operating characteristics for group sequential trials monitored under fractional Brownian motion
- Repeated confidence intervals under fractional Brownian motion in long-term clinical trials
- On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise
- Sample size re-estimation based on two-stage analysis of variance: Interim analysis of clinical trials
- Estimation of Hurst exponent revisited
- Asymmetric group sequential designs under fractional Brownian motion
- A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
- Repeated confidence intervals and prediction intervals using stochastic curtailment under fractional Brownian motion
- Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter
- Sample size determination for group sequential test under fractional Brownian motion
- Stochastically curtailed tests under fractional Brownian motion
- Fractional Brownian motion and long term clinical trial recruitment
- Title not available (Why is that?)
- Introducing an interpolation method to efficiently implement an approximate maximum likelihood estimator for the Hurst exponent
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