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Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
Date
2014-03-15
Author
Yerlikaya-Ozkurt, F.
Vardar Acar, Ceren
Yolcu-Okur, Y.
Weber, G. -W.
Metadata
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Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License
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In this study, we develop an alternative method for estimating the Hurst parameter using the conic multivariate adaptive regression splines (CMARS) method. We concentrate on the strong solutions of stochastic differential equations (SDEs) driven by fractional Brownian motion (fBm). Our approach is superior to others in that it not only estimates the Hurst parameter but also finds spline parameters of the stochastic process in an adaptive way. We examine the performance of our estimations using simulated test data.
Subject Keywords
Stochastic differential equations
,
Fractional Brownian motion
,
Hurst parameter
,
Conic multivariate adaptive regression splines
URI
https://hdl.handle.net/11511/40852
Journal
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
DOI
https://doi.org/10.1016/j.cam.2013.08.001
Collections
Department of Statistics, Article
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BibTeX
F. Yerlikaya-Ozkurt, C. Vardar Acar, Y. Yolcu-Okur, and G.-W. Weber, “Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method,”
JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
, pp. 843–850, 2014, Accessed: 00, 2020. [Online]. Available: https://hdl.handle.net/11511/40852.