Bayesian estimation of the Hurst parameter of fractional Brownian motion

被引：2

作者：

Chen, Chen-Yueh ^{[1
]}

Shafie, Khalil ^{[2
]}

Lin, Yen-Kuang ^{[3
]}

机构：

[1] Natl Taiwan Sport Univ, 250 Wen Hwa First Rd, Taoyuan 333, Taiwan

[2] Univ Northern Colorado, Greeley, CO USA

[3] Taipei Med Univ, Taipei, Taiwan

来源：

COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION | 2017年 / 46卷 / 06期

关键词：

Bayesian analysis; fractal dimension; fractional Brownian motion; MAXIMUM-LIKELIHOOD ESTIMATOR;

D O I：

10.1080/03610918.2015.1130835

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The primary purpose of this study was to find Bayesian estimates for the Hurst dimension of a Fractional Brownian motion with a Beta prior when the process is observed at discrete times. Overestimation is observed though the overestimation is less severe as real H goes up. In addition, the estimated H decreases as Beta parameters go up given an Alpha value. In contrast, the estimated H increases as Alpha parameters go up given a Beta value. For the real-world data, the 2011 daily Taiwan stock index was used and the estimated Hurst index was 0.21.

引用

页码：4760 / 4766

页数：7

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