Authors
Alexander Kukush, Yulia Mishura, Esko Valkeila
Publication date
2005/1
Journal
Statistical inference for stochastic processes
Volume
8
Pages
71-93
Publisher
Kluwer Academic Publishers
Description
We give a test between two complex hypothesis; namely we test whether a fractional Brownian motion (fBm) has a linear trend against a certain non-linear trend. We study some related questions, like goodness-of-fit test and volatility estimation in these models.
Total citations
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Scholar articles
A Kukush, Y Mishura, E Valkeila - Statistical inference for stochastic processes, 2005