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My bibliography Save this articleHurst Index Estimation in Stochastic Differential Equations Driven by Fractional Brownian Motion
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DOI: 10.1007/s10959-019-00925-w
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- Brouste, Alexandre & Fukasawa, Masaaki & Hino, Hideitsu & Iacus, Stefano & Kamatani, Kengo & Koike, Yuta & Masuda, Hiroki & Nomura, Ryosuke & Ogihara, Teppei & Shimuzu, Yasutaka & Uchida, Masayuki & Y, 2014. "The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 57(i04).
- Breuer, Péter & Major, Péter, 1983. "Central limit theorems for non-linear functionals of Gaussian fields," Journal of Multivariate Analysis, Elsevier, vol. 13(3), pages 425-441, September.
- Jean-François Coeurjolly, 2001. "Estimating the Parameters of a Fractional Brownian Motion by Discrete Variations of its Sample Paths," Statistical Inference for Stochastic Processes, Springer, vol. 4(2), pages 199-227, May.
- Nualart, David & Ouknine, Youssef, 2002. "Regularization of differential equations by fractional noise," Stochastic Processes and their Applications, Elsevier, vol. 102(1), pages 103-116, November.
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Cited by:
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- Mohamed Hamdouche & Pierre Henry-Labordere & Huyên Pham, 2023. "Generative modeling for time series via Schrödinger bridge," Working Papers hal-04063041, HAL.
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Keywords
Hurst index estimation; Stochastic differential equation; Fractional Brownian motion; Quadratic variation; Malliavin calculus; Central limit theorem;All these keywords.
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