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Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method

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dc.contributor.author Yerlikaya-Özkurt, F.
dc.contributor.author Varda-Acar, Ceren
dc.contributor.author Yolcu-Okura, Y.
dc.contributor.author Weber, G. -W.
dc.date.accessioned 2019-07-04T14:19:43Z
dc.date.available 2019-07-04T14:19:43Z
dc.date.issued 2014-03
dc.identifier.citation Yerlikaya-Özkurt, F., Vardar-Acar, C., Yolcu-Okur, Y., & Weber, G. W. (2014). Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method. Journal of Computational and Applied Mathematics, 259, 843-850. en_US
dc.identifier.issn 0377-0427
dc.identifier.uri https://doi.org/10.1016/j.cam.2013.08.001
dc.identifier.uri http://hdl.handle.net/20.500.11851/1707
dc.description.abstract In this study, we develop an alternative method for estimating the Hurst parameter using the conic multivariate adaptive regression splines (CMARS) method. We concentrate on the strong solutions of stochastic differential equations (SDEs) driven by fractional Brownian motion (fBm). Our approach is superior to others in that it not only estimates the Hurst parameter but also finds spline parameters of the stochastic process in an adaptive way. We examine the performance of our estimations using simulated test data. en_US
dc.description.sponsorship TUBITAK Domestic Doctoral Scholarship Program en_US
dc.language.iso eng en_US
dc.publisher Elsevier Science Bv en_US
dc.rights info:eu-repo/semantics/openAccess
dc.subject Stochastic differential equations en_US
dc.subject  Fractional Brownian motion en_US
dc.subject  Hurst parameter en_US
dc.subject  Conic multivariate adaptive regression splines en_US
dc.title Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method en_US
dc.type article en_US
dc.relation.journal Journal of Computational and Applied Mathematics en_US
dc.contributor.department TOBB ETU, Faculty of Science and Literature, Department of Mathematics en_US
dc.contributor.department TOBB ETÜ, Fen Edebiyat Fakültesi, Matematik Bölümü tr_TR
dc.identifier.volume 259
dc.identifier.startpage 843
dc.identifier.endpage 850
dc.contributor.orcid https://orcid.org/0000-0001-9433-5888
dc.identifier.wos  WOS:000329376700055
dc.identifier.scopus 2-s2.0-84889078759
dc.contributor.tobbetuauthor Varda-Acar, Ceren
dc.contributor.YOKid 142337
dc.identifier.doi 10.1016/j.cam.2013.08.001
dc.contributor.ScopusAuthorID 55616872200
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı tr_TR


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