Maximum Likelihood Estimation, Interpolation and Prediction for Fractional Brownian Motion.
Rachid HarbaHassan DouziMohamed El HajjiPublished in: ICISP (2012)
Keyphrases
- financial markets
- fractional brownian motion
- maximum likelihood estimation
- maximum likelihood
- em algorithm
- long range dependence
- parameter estimation
- expectation maximization
- probability distribution
- multivariate gaussian
- density function
- stochastic differential equations
- long range
- pairwise
- image processing
- mixture model
- information retrieval
- face recognition