Visual information and expert's idea in Hurst index estimation of the fractional Brownian motion using a diffusion type approximation.

ABSTRACT: An approximation of the fractional Brownian motion based on the Ornstein-Uhlenbeck process is used to obtain an asymptotic likelihood function. Two estimators of the Hurst index are then presented in the likelihood approach. The first estimator is produced according to the observed values of the sample path; while the second one employs the likelihood function of the incremental process. We also employ visual roughness of realization to restrict the parameter space and to obtain prior information in Bayesian approach. The methods are then compared with three contemporary estimators and an experimental data set is studied.

SUBMITTER: Taheriyoun AR 

PROVIDER: S-EPMC5307349 | biostudies-literature | 2017 Feb

REPOSITORIES: biostudies-literature