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Estimation of Scale and Hurst Parameters of Semi-Selfsimilar Processes
Hurst estimation Discrete self-similarity Fractional Brownian motion Semi-selfsimilar processes Scale parameter.
2012/9/19
The characteristic feature of semi-selfsimilar process is the invariance of its finite dimensional distributions by certain dilation for specific scaling factor. Estimating the scale parameter λand th...
Dynamics of stochastic non-Newtonian fluids driven by fractional Brownian motion with Hurst parameter $H \in (1/4,1/2)$
fractional Brownian motion stochastic non-Newtonian fluid
2011/7/19
In this paper we consider the Stochastic isothermal, nonlinear, incompressible bipolar viscous fluids driven by a genuine cylindrical fractional Bronwnian motion with Hurst parameter $H \in (1/4,1/2)$...
Nonparametric estimation of the local Hurst function of multifractional processes
Nonparametric estimators Hurst function tangent process
2010/10/19
Consistency, almost sure convergence and central limit theorems are provided for two nonparametric estimators of the local Hurst function of Gaussian multifractional processes. In the case of multifr...
Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
Concentration inequalities exact confidence intervals fractional Brownian motion Hurst parameter
2009/9/16
In this short note, we show how to use concentration inequalities in order to build exact confidence intervals for the Hurst parameter associated with a one-dimensional fractional Brownian motion.
Hurst exponent estimation of Fractional Lévy Motion
Asymptotic Statistics Multifractional Motion Wavelet Bases
2009/6/12
In this paper, we build an estimator of the Hurst exponent of a fractional Levy motion. The stochastic process is observed with random noise errors in the following framework: continuous time and disc...
Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
Concentration Inequalities Exact confidence intervals Fractional Brownian motion Hurst parameter
2010/3/17
In this short note, we show how to use concentration inequalities in order to build exact
confidence intervals for the Hurst parameter associated with a one-dimensional fractional Brownian motion.