6 search results - page 1 / 2 » Parameter Estimation of Geometrically Sampled Fractional Bro... |
INFOCOM
2000
IEEE
13 years 9 months ago
2000
IEEE
INFORMATICALT
2011
12 years 12 months ago
2011
This paper presents a study of the Hurst index estimation in the case of fractional Ornstein–Uhlenbeck and geometric Brownian motion models. The performance of the estimators is ...
ICDE
2002
IEEE
14 years 6 months ago
2002
IEEE
Network, web, and disk I/O traffic are usually bursty, self-similar [9, 3, 5, 6] and therefore can not be modeled adequately with Poisson arrivals[9]. However, we do want to model...
TIT
2002
13 years 4 months ago
2002
Various wavelet-based estimators of self-similarity or long-range dependence scaling exponent are studied extensively. These estimators mainly include the (bi)orthogonal wavelet e...
SAC
2002
ACM
13 years 4 months ago
2002
ACM
The theoretical price of a financial option is given by the expectation of its discounted expiry time payoff. The computation of this expectation depends on the density of the val...