[HTML][HTML] Parameter estimation for fractional Ornstein–Uhlenbeck processes at discrete observation
W Xiao, W Zhang, W Xu - Applied Mathematical Modelling, 2011 - Elsevier
This paper deals with the problem of estimating the parameters for fractional Ornstein–
Uhlenbeck processes from discrete observations when the Hurst parameter H is known …
Uhlenbeck processes from discrete observations when the Hurst parameter H is known …
Self-similarity of higher-order moving averages
S Arianos, A Carbone, C Türk - Physical Review E—Statistical, Nonlinear, and …, 2011 - APS
In this work, higher-order moving average polynomials are defined by straightforward
generalization of the standard moving average. The self-similarity of the polynomials is …
generalization of the standard moving average. The self-similarity of the polynomials is …
Characterization and estimation of reservoir properties in a carbonate reservoir in Southern Iran by fractal methods
Reservoir heterogeneity has a major effect on the characterization of reservoir properties
and consequently reservoir forecast. In reality, heterogeneity is observed in a wide range of …
and consequently reservoir forecast. In reality, heterogeneity is observed in a wide range of …
A numerical method to compute the volatility of the fractional Brownian motion implied by American options
LV Ballestra, L Cecere - International Journal of Applied Mathematics, 2013 - diogenes.bg
We develop a highly efficient approach to compute the volatility of the Fractional Brownian
Motion (FBM) implied by American options. To this aim, the theoretical values of American …
Motion (FBM) implied by American options. To this aim, the theoretical values of American …
Theoretical and numerical comparisons of the parameter estimator of the fractional Brownian motion
JM Bardet - Mathematical Structures and Applications: In Honor of …, 2018 - Springer
The fractional Brownian motion which has been defined by Kolmogorov (CR (Doklady) Acad
Sci URSS (NS) 26: 115–118) and numerous papers was devoted to its study since its study …
Sci URSS (NS) 26: 115–118) and numerous papers was devoted to its study since its study …
[PDF][PDF] Caroline ROBET
MC DOMBRY - core.ac.uk
Afin de modéliser simplement des phénomènes qui évoluent au cours du temps, il est
souvent pertinent de supposer que le fait étudié évolue aléatoirement et de le représenter …
souvent pertinent de supposer que le fait étudié évolue aléatoirement et de le représenter …
Statistique des processus stables et des processus à longue mémoire
C Robet - 2019 - hal.science
Ce manuscrit, séparé en deux parties, débute par l'étude des lois et processus α-stables et
des processus multistables. Après avoir construit et étudié un estimateur basé sur les log …
des processus multistables. Après avoir construit et étudié un estimateur basé sur les log …
Long range dependence v časových řadách
A Till - 2016 - dspace.cuni.cz
Název práce: Long range dependence v časových řadách Autor: Alexander Till
Katedra/Ústav: Katedra pravděpodobnosti a matematické statistiky Vedoucí diplomové …
Katedra/Ústav: Katedra pravděpodobnosti a matematické statistiky Vedoucí diplomové …