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.

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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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Citation Formats

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.