Please use this identifier to cite or link to this item: https://hdl.handle.net/20.500.11851/1707
Title: Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method
Authors: Özkurt, F. Yerlikaya
Acar, Ceren Varda
Okura, Y. Yolcu
Weber, G. W.
142337
Keywords: Stochastic differential equations
 Fractional Brownian motion
 Hurst parameter
 Conic multivariate adaptive regression splines
Issue Date: Mar-2014
Publisher: Elsevier Science Bv
Source: Yerlikaya-Özkurt, F., Vardar-Acar, C., Yolcu-Okur, Y., & Weber, G. W. (2014). Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method. Journal of Computational and Applied Mathematics, 259, 843-850.
Abstract: In this study, we develop an alternative method for estimating the Hurst parameter using the conic multivariate adaptive regression splines (CMARS) method. We concentrate on the strong solutions of stochastic differential equations (SDEs) driven by fractional Brownian motion (fBm). Our approach is superior to others in that it not only estimates the Hurst parameter but also finds spline parameters of the stochastic process in an adaptive way. We examine the performance of our estimations using simulated test data.
URI: https://doi.org/10.1016/j.cam.2013.08.001
https://hdl.handle.net/20.500.11851/1707
ISSN: 0377-0427
Appears in Collections:Matematik Bölümü / Department of Mathematics
Scopus İndeksli Yayınlar Koleksiyonu / Scopus Indexed Publications Collection
WoS İndeksli Yayınlar Koleksiyonu / WoS Indexed Publications Collection

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