Про деякі статистики фрактального броунівського руху

• Date: 2021
• Main Author: Bondarenko, Viktor
• Format: Article
• Language: Russian
• Published: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2021
• Subjects: фрактальний броунівський рух; оцінювання параметрів; перевірка статистичних гіпотез
• Online Access: http://journal.iasa.kpi.ua/article/view/236934
• Journal Title: System research and information technologies

Fractional Brownian motion as a method for estimating the parameters of a stochastic process by variance and one-step increment covariance is proposed and substantiated. The root-mean-square consistency of the constructed estimates has been proven. The obtained results complement and generalize the...