The Fractional Brownian Motion: Estimation and Approximation of TimeSeries

Journal of Applied & Computational Mathematics

article

Bondarenko V¹ 

[1] Kyiv Polytechnic Institute, National Technical University of Ukraine

关键词: Fractional brownian motion;    Gaussian random process;    Numerical experiment;   

DOI  :  10.4172/2168-9679.1000269

来源: Hilaris Publisher

【 摘 要 】

In this paper we propose two problems which related to fractional Brownian motion. First problem- simultaneous estimation of two parameters-Hurst exponent and the volatility, that describes this random process. Numerical tests for the simulated fBm provided an efficient method. Second problem- approximation of the increments of observed time series with power function by increments from the fractional Brownian motion. Approximation and estimation have shown on the example of real data- daily deposit interest rates.

【 授权许可】

Unknown