Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

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Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion

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This book is devoted to a number of stochastic models that display scale invariance. It primarily focuses on three issues: probabilistic properties, statistical

Statistical Inference for Fractional Diffusion Processes

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Stochastic processes are widely used for model building in the social, physical, engineering and life sciences as well as in financial economics. In model build

Parameter Estimation in Fractional Diffusion Models

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This book is devoted to parameter estimation in diffusion models involving fractional Brownian motion and related processes. For many years now, standard Browni

Advances in Probability and Mathematical Statistics

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This volume contains papers which were presented at the XV Latin American Congress of Probability and Mathematical Statistics (CLAPEM) in December 2019 in Méri