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dc.contributor.authorYerlikaya-Özkurt, F.
dc.contributor.authorVarda-Acar, Ceren
dc.contributor.authorYolcu-Okura, Y.
dc.contributor.authorWeber, G. -W.
dc.date.accessioned2019-07-04T14:19:43Z
dc.date.available2019-07-04T14:19:43Z
dc.date.issued2014-03
dc.identifier.citationYerlikaya-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.issn0377-0427
dc.identifier.urihttps://doi.org/10.1016/j.cam.2013.08.001
dc.identifier.urihttp://hdl.handle.net/20.500.11851/1707
dc.description.abstractIn 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.sponsorshipTUBITAK Domestic Doctoral Scholarship Programen_US
dc.language.isoengen_US
dc.publisherElsevier Science Bven_US
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectStochastic differential equationsen_US
dc.subject Fractional Brownian motionen_US
dc.subject Hurst parameteren_US
dc.subject Conic multivariate adaptive regression splinesen_US
dc.titleEstimation of the Hurst parameter for fractional Brownian motion using the CMARS methoden_US
dc.typearticleen_US
dc.relation.journalJournal of Computational and Applied Mathematicsen_US
dc.contributor.departmentTOBB ETU, Faculty of Science and Literature, Department of Mathematicsen_US
dc.contributor.departmentTOBB ETÜ, Fen Edebiyat Fakültesi, Matematik Bölümütr_TR
dc.identifier.volume259
dc.identifier.startpage843
dc.identifier.endpage850
dc.contributor.orcidhttps://orcid.org/0000-0001-9433-5888
dc.identifier.wos WOS:000329376700055
dc.identifier.scopus2-s2.0-84889078759
dc.contributor.tobbetuauthorVarda-Acar, Ceren
dc.contributor.YOKid142337
dc.identifier.doi10.1016/j.cam.2013.08.001
dc.contributor.ScopusAuthorID55616872200
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıtr_TR


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