Estimating the Hurst effect and its application in monitoring clinical trials

DOI10.1016/S0167-9473(03)00085-9zbMATH1429.62559MaRDI QIDQ956853FDOQ956853

Authors D. Lai

Publication date 26 November 2008

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

clinical trialsmaximum likelihood methodfractional Brownian motionHurst coefficientsimulation studiessymptotic normality

Mathematics Subject Classification ID

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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Cites work

• scientific article; zbMATH DE number 3551729 (Why is no real title available?)
• scientific article; zbMATH DE number 976830 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• scientific article; zbMATH DE number 274399 (Why is no real title available?)
• A DYNAMICAL APPROACH TO FRACTIONAL BROWNIAN MOTION
• Efficient parameter estimation for self-similar processes
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional Brownian motion and clinical trials
• Maximum likelihood estimation of models for residual covariance in spatial regression
• On a class of M-estimators for Gaussian long-memory models
• On the prediction of fractional Brownian motion
• Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
• Stochastic Calculus for Fractional Brownian Motion I. Theory
• Testing for a change of the long-memory parameter
• Tests for Hurst effect
• Time series: theory and methods
• Uniform asymptotic normality of the maximum likelihood estimator

Cited in

(17)

• Stochastically curtailed tests under fractional Brownian motion
• scientific article; zbMATH DE number 1979638 (Why is no real title available?)
• Repeated confidence intervals and prediction intervals using stochastic curtailment under fractional Brownian motion
• Asymptotic normality of the estimators for fractional Brownian motions with discrete data
• Fractional Brownian motion and long term clinical trial recruitment
• Parameter identification for drift fractional Brownian motions with application to the Chinese stock markets
• Sample size determination for group sequential test under fractional Brownian motion
• Experimental study of the influence of an irregular sample on the estimation of the Hurst parameter
• Sample size re-estimation based on two-stage analysis of variance: Interim analysis of clinical trials
• Group sequential tests under fractional Brownian motion in monitoring clinical trials
• A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
• Asymmetric group sequential designs under fractional Brownian motion
• Operating characteristics for group sequential trials monitored under fractional Brownian motion
• Repeated confidence intervals under fractional Brownian motion in long-term clinical trials
• Estimation of Hurst exponent revisited
• Introducing an interpolation method to efficiently implement an approximate maximum likelihood estimator for the Hurst exponent
• On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise

Describes a project that uses

Uses Software

• IMSL Numerical Libraries
• longmemo

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