Bayesian estimation of the Hurst parameter of fractional Brownian motion.

Chen-Yueh Chen Khalil Shafie Yen-Kuang Lin

Published in: Commun. Stat. Simul. Comput. (2017)

Keyphrases

bayesian estimation
fractional brownian motion
long range
non stationary
fractal dimension
long range dependence
financial markets
posterior distribution
random fields
parameter space
multiresolution
parameter settings