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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...
A Closed-Form Approximation of Likelihood Functions for Discretely Sampled Diffusions：the Exponent Expansion
Closed-Form Approximation Likelihood Functions Discretely Sampled Diffusions Exponent Expansion
2010/4/27
In this paper we discuss a closed-form approximation of the likelihood functions of
an arbitrary diffusion process. The approximation is based on an exponential ansatz
of the transition probability ...