The Resource Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion, Corinne Berzin, Alain Latour, José R. León
Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion, Corinne Berzin, Alain Latour, José R. León
Resource Information
The item Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion, Corinne Berzin, Alain Latour, José R. León represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion, Corinne Berzin, Alain Latour, José R. León represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
 Summary
 This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical estimation and simulation of the processes considered. It will be of interest to probability specialists, who will find here an uncomplicated presentation of statistics tools, and to those statisticians who wants to tackle the most recent theories in probability in order to develop Central Limit Theorems in this context; both groups will also benefit from the section on simulation. Algorithms are described in great detail, with a focus on procedures that is not usually found in mathematical treatises. The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations. Concerning the proofs of the limit theorems, the "Fourth Moment Theorem" is systematically used, as it produces rapid and helpful proofs that can serve as models for the future. Readers will also find elegant and new proofs for almost sure convergence. The use of diffusion models driven by fractional noise has been popular for more than two decades now. This popularity is due both to the mathematics itself and to its fields of application. With regard to the latter, fractional models are useful for modeling reallife events such as value assets in financial markets, chaos in quantum physics, river flows through time, irregular images, weather events, and contaminant diffusion problems
 Language
 eng
 Extent
 1 online resource (xxviii, 169 pages)
 Contents

 1. Introduction
 2. Preliminaries
 3. Estimation of the Parameters
 4. Simulation Algorithms and Simulation Studies
 5. Proofs of all the results
 A. Complementary Results
 A.1. Introduction
 A.2. Proofs
 B. Tables and Figures Related to the Simulation Studies
 C. Some Pascal Procedures and Functions
 References
 Index
 Isbn
 9783319078755
 Label
 Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
 Title
 Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion
 Statement of responsibility
 Corinne Berzin, Alain Latour, José R. León
 Subject

 MATHEMATICS  Applied
 MATHEMATICS  Probability & Statistics  General
 Probability Theory and Stochastic Processes
 Simulation and Modeling
 Statistical Theory and Methods
 Statistics
 Statistics for Business/Economics/Mathematical Finance/Insurance
 Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences
 Analysis of variance
 Analysis of variance
 Brownian motion processes
 Brownian motion processes
 Language
 eng
 Summary
 This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical estimation and simulation of the processes considered. It will be of interest to probability specialists, who will find here an uncomplicated presentation of statistics tools, and to those statisticians who wants to tackle the most recent theories in probability in order to develop Central Limit Theorems in this context; both groups will also benefit from the section on simulation. Algorithms are described in great detail, with a focus on procedures that is not usually found in mathematical treatises. The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations. Concerning the proofs of the limit theorems, the "Fourth Moment Theorem" is systematically used, as it produces rapid and helpful proofs that can serve as models for the future. Readers will also find elegant and new proofs for almost sure convergence. The use of diffusion models driven by fractional noise has been popular for more than two decades now. This popularity is due both to the mathematics itself and to its fields of application. With regard to the latter, fractional models are useful for modeling reallife events such as value assets in financial markets, chaos in quantum physics, river flows through time, irregular images, weather events, and contaminant diffusion problems
 Cataloging source
 N$T
 http://library.link/vocab/creatorName
 Berzin, Corinne
 Dewey number
 519.2/33
 Illustrations
 illustrations
 Index
 index present
 Language note
 English
 LC call number
 QA274.75
 Literary form
 non fiction
 Nature of contents

 dictionaries
 bibliography
 http://library.link/vocab/relatedWorkOrContributorName

 Latour, Alain
 León, José R.
 Series statement
 Lecture Notes in Statistics,
 Series volume
 216
 http://library.link/vocab/subjectName

 Brownian motion processes
 Analysis of variance
 Statistics
 Statistical Theory and Methods
 Probability Theory and Stochastic Processes
 Simulation and Modeling
 Statistics for Business/Economics/Mathematical Finance/Insurance
 Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences
 MATHEMATICS
 MATHEMATICS
 Analysis of variance
 Brownian motion processes
 Label
 Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion, Corinne Berzin, Alain Latour, José R. León
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 1. Introduction  2. Preliminaries  3. Estimation of the Parameters  4. Simulation Algorithms and Simulation Studies  5. Proofs of all the results  A. Complementary Results  A.1. Introduction  A.2. Proofs  B. Tables and Figures Related to the Simulation Studies  C. Some Pascal Procedures and Functions  References  Index
 Control code
 894508399
 Dimensions
 unknown
 Extent
 1 online resource (xxviii, 169 pages)
 File format
 unknown
 Form of item
 online
 Isbn
 9783319078755
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783319078755
 Other physical details
 illustrations (some color).
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)894508399
 Label
 Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion, Corinne Berzin, Alain Latour, José R. León
 Antecedent source
 unknown
 Bibliography note
 Includes bibliographical references and index
 Carrier category
 online resource
 Carrier category code

 cr
 Carrier MARC source
 rdacarrier
 Color
 multicolored
 Content category
 text
 Content type code

 txt
 Content type MARC source
 rdacontent
 Contents
 1. Introduction  2. Preliminaries  3. Estimation of the Parameters  4. Simulation Algorithms and Simulation Studies  5. Proofs of all the results  A. Complementary Results  A.1. Introduction  A.2. Proofs  B. Tables and Figures Related to the Simulation Studies  C. Some Pascal Procedures and Functions  References  Index
 Control code
 894508399
 Dimensions
 unknown
 Extent
 1 online resource (xxviii, 169 pages)
 File format
 unknown
 Form of item
 online
 Isbn
 9783319078755
 Level of compression
 unknown
 Media category
 computer
 Media MARC source
 rdamedia
 Media type code

 c
 Other control number
 10.1007/9783319078755
 Other physical details
 illustrations (some color).
 Quality assurance targets
 not applicable
 Reformatting quality
 unknown
 Sound
 unknown sound
 Specific material designation
 remote
 System control number
 (OCoLC)894508399
Subject
 MATHEMATICS  Applied
 MATHEMATICS  Probability & Statistics  General
 Probability Theory and Stochastic Processes
 Simulation and Modeling
 Statistical Theory and Methods
 Statistics
 Statistics for Business/Economics/Mathematical Finance/Insurance
 Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences
 Analysis of variance
 Analysis of variance
 Brownian motion processes
 Brownian motion processes
Member of
Library Links
Embed
Settings
Select options that apply then copy and paste the RDF/HTML data fragment to include in your application
Embed this data in a secure (HTTPS) page:
Layout options:
Include data citation:
<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/InferenceontheHurstparameterandthevariance/_DghckBUOs/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/InferenceontheHurstparameterandthevariance/_DghckBUOs/">Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion, Corinne Berzin, Alain Latour, José R. León</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>
Note: Adjust the width and height settings defined in the RDF/HTML code fragment to best match your requirements
Preview
Cite Data  Experimental
Data Citation of the Item Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion, Corinne Berzin, Alain Latour, José R. León
Copy and paste the following RDF/HTML data fragment to cite this resource
<div class="citation" vocab="http://schema.org/"><i class="fa faexternallinksquare fafw"></i> Data from <span resource="http://link.library.missouri.edu/portal/InferenceontheHurstparameterandthevariance/_DghckBUOs/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/InferenceontheHurstparameterandthevariance/_DghckBUOs/">Inference on the Hurst parameter and the variance of diffusions driven by fractional Brownian motion, Corinne Berzin, Alain Latour, José R. León</a></span>  <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>