Bayesian estimation of the Hurst parameter of fractional Brownian motion

Chen Yueh Chen, Khalil Shafie, Yen Kuang Lin

Research output: Contribution to journalArticle

Abstract

The primary purpose of this study was to find Bayesian estimates for the Hurst dimension of a Fractional Brownian motion with a Beta prior when the process is observed at discrete times. Overestimation is observed though the overestimation is less severe as real H goes up. In addition, the estimated H decreases as Beta parameters go up given an Alpha value. In contrast, the estimated H increases as Alpha parameters go up given a Beta value. For the real-world data, the 2011 daily Taiwan stock index was used and the estimated Hurst index was 0.21.

Original languageEnglish
Pages (from-to)1-7
Number of pages7
JournalCommunications in Statistics: Simulation and Computation
DOIs
Publication statusAccepted/In press - Jan 31 2017

Keywords

  • Bayesian analysis
  • fractal dimension
  • fractional Brownian motion

ASJC Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation

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