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ABSTRACT:
SUBMITTER: Taheriyoun AR
PROVIDER: S-EPMC5307349 | biostudies-literature | 2017 Feb
REPOSITORIES: biostudies-literature
Taheriyoun Ali R AR Moghimbeygi Meisam M
Scientific reports 20170214
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 informatio ...[more]