Bondarenko V
In this paper we propose two problems which related to fractional Brownian motion. First problem- simultaneous estimation of two parameters-Hurst exponent and the volatility, that describes this random process. Numerical tests for the simulated fBm provided an efficient method. Second problem- approximation of the increments of observed time series with power function by increments from the fractional Brownian motion. Approximation and estimation have shown on the example of real data- daily deposit interest rates.
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Journal of Applied & Computational Mathematics received 1282 citations as per Google Scholar report
