Coverart for item
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

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
Creator
Contributor
Author
Subject
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 real-life events such as value assets in financial markets, chaos in quantum physics, river flows through time, irregular images, weather events, and contaminant diffusion problems
Member of
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
Instantiates
Publication
Copyright
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
10.1007/978-3-319-07875-5
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
Publication
Copyright
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
10.1007/978-3-319-07875-5
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

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