Please use this identifier to cite or link to this item:
https://hdl.handle.net/20.500.11851/1707
Title: | Estimation of the Hurst Parameter for Fractional Brownian Motion Using the Cmars Method | Authors: | Özkurt, F. Yerlikaya Acar, Ceren Varda Okura, Y. Yolcu Weber, G. W. |
Keywords: | Stochastic differential equations Fractional Brownian motion Hurst parameter Conic multivariate adaptive regression splines |
Publisher: | Elsevier Science Bv | Source: | Yerlikaya-Özkurt, F., Vardar-Acar, C., Yolcu-Okur, Y., & Weber, G. W. (2014). Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method. Journal of Computational and Applied Mathematics, 259, 843-850. | Abstract: | 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. | URI: | https://doi.org/10.1016/j.cam.2013.08.001 https://hdl.handle.net/20.500.11851/1707 |
ISSN: | 0377-0427 |
Appears in Collections: | Matematik Bölümü / Department of Mathematics Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection |
Show full item record
CORE Recommender
SCOPUSTM
Citations
14
checked on Dec 21, 2024
WEB OF SCIENCETM
Citations
12
checked on Sep 24, 2022
Page view(s)
64
checked on Dec 16, 2024
Google ScholarTM
Check
Altmetric
Items in GCRIS Repository are protected by copyright, with all rights reserved, unless otherwise indicated.