On Comparison of the Estimators of the Hurst Index of the Solutions of Stochastic Differential Equations Driven by the Fractional Brownian Motion.
Kestutis KubiliusDmitrij MelichovPublished in: Informatica (2011)
Keyphrases
- stochastic differential equations
- fractional brownian motion
- long range
- maximum a posteriori estimation
- non stationary
- brownian motion
- fractal dimension
- random fields
- long range dependence
- additive gaussian noise
- financial markets
- differential equations
- optimal control
- hidden markov models
- stochastic process
- poisson process
- noisy images
- closed form
- conditional random fields