Statistical inference with fractional Brownian motion

被引：1

作者：

Kukush A. ^{[1
]}

Mishura Y. ^{[1
]}

Valkeila E. ^{[2
]}

机构：

[1] Department of Mathematics, Kiev University, 01033 Kiev

[2] Department of Mathematics, University of Helsinki, FIN-00014

来源：

Statistical Inference for Stochastic Processes | 2005年 / 8卷 / 1期

关键词：

Fractional Brownian motions; Goodness-of-fit test; Hypothesis testing; Volatility estimation;

D O I：

10.1023/B:SISP.0000049124.59173.79

中图分类号：

学科分类号：

摘要：

We give a test between two complex hypothesis; namely we test whether a fractional Brownian motion (fBm) has a linear trend against a certain non-linear trend. We study some related questions, like goodness-of-fit test and volatility estimation in these models. © Springer 2005.

引用

页码：71 / 93

页数：22

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