Bayesian estimation of the Hurst parameter of fractional Brownian motion. Issue 6 (3rd July 2017)

• Record Type: Journal Article
• Authors: Chen, Chen-Yueh; Shafie, Khalil; Lin, Yen-Kuang
• Is Part Of: Communications in statistics. Volume 46:Issue 6(2017)
• Page Start: 4760
• Page End: 4766
• Publication Date: 2017-07-03
• Subjects: Bayesian analysis -- fractal dimension -- fractional Brownian motion; Mathematical statistics -- Periodicals; Mathematical statistics -- Data processing -- Periodicals; Digital computer simulation -- Periodicals; 519.5
• DOI: 10.1080/03610918.2015.1130835
• Languages: English
• ISSNs: 0361-0918

Abstract

ABSTRACT: 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.