Drift Parameter Estimation for a Reflected Fractional Brownian Motion Based on its Local Time.
Yaozhong HuChihoon LeePublished in: J. Appl. Probab. (2013)
Keyphrases
- parameter estimation
- fractional brownian motion
- random fields
- long range
- non stationary
- markov random field
- least squares
- long range dependence
- model selection
- maximum likelihood
- em algorithm
- fractal dimension
- expectation maximization
- financial markets
- parameter estimation algorithm
- model fitting
- stochastic differential equations
- segmentation method
- estimation problems
- conditional random fields
- probabilistic model
- energy function
- semi supervised