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Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion - Lecture Notes in Statistics Corinne Berzin 2014 edition
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Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion - Lecture Notes in Statistics
Corinne Berzin
The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the “Fourth Moment Theorem” is systematically used, as it produces rapid and helpful proofs that can serve as models for the future.
197 pages, 9 black & white illustrations, 17 colour illustrations, biography
| Mídia | Livros Paperback Book (Livro de capa flexível e brochura) |
| Lançado | 29 de outubro de 2014 |
| ISBN13 | 9783319078748 |
| Editoras | Springer International Publishing AG |
| Páginas | 169 |
| Dimensões | 158 × 235 × 11 mm · 318 g |
| Idioma | Inglês |
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