Parameter estimation in fractional diffusion models. (2018)

• Record Type: Book
• Further Information: Note: Kȩstutis Kubilius, Yuliya Mishura, Kostiantyn Ralchenko.
• Authors: Kubilius, Kęstutis; Mishura, I︠U︡lii︠a︡ S; Ralchenko, Kostiantyn
• Contents: 1 Description and properties of the basic stochastic models.- 2 The Hurst index estimators for a fractional Brownian motion.- 3 Estimation of the Hurst index from the solution of a stochastic differential equation.- 4 Parameter estimation in the mixed models via power variations.- 5 Drift parameter estimation in diffusion and fractional diffusion models.- 6 The extended Orey index for Gaussian processes.- 7 Appendix A: Selected facts from mathematical and functional analysis.- 8 Appendix B: Selected facts from probability, stochastic processes and stochastic calculus.
• Publisher Details: Cham : Springer
• Publication Date: 2018
• Extent: 1 online resource
• Subjects: 530.475; Mathematics; Brownian movements; Diffusion; Brownian motion processes; SCIENCE / Energy; SCIENCE / Mechanics / General; SCIENCE / Physics / General; Brownian motion processes; Brownian movements; Diffusion; Mathematics -- Probability & Statistics -- General; Probability & statistics; Distribution (Probability theory); Mathematical statistics; Electronic books
• Languages: English
• ISBNs: 9783319710303; 3319710303
• Related ISBNs: 9783319710297
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (EBSCO, viewed January 11, 2018)
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.