Bayesian estimation of the Hurst parameter of fractional Brownian motion

Chen Yueh Chen, Khalil Shafie, Yen Kuang Lin

研究成果: 雜誌貢獻文章同行評審

1 引文 斯高帕斯(Scopus)

摘要

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.
原文英語
頁(從 - 到)4760-4766
頁數7
期刊Communications in Statistics: Simulation and Computation
46
發行號6
DOIs
出版狀態已發佈 - 7月 3 2017

ASJC Scopus subject areas

  • 統計與概率
  • 建模與模擬

指紋

深入研究「Bayesian estimation of the Hurst parameter of fractional Brownian motion」主題。共同形成了獨特的指紋。

引用此