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Statistical Inference with Fractional Brownian Motion |
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| Authors: | Kukush Alexander Mishura Yulia Valkeila Esko |
| Affiliation: | (1) Department of Mathematics, Kiev University, Volodimirska Street 64, 01033 Kiev, Ukraine;(2) Department of Mathematics, University of Helsinki, P.O. Box 4, FIN-00014, Finland |
| Abstract: | 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. |
| Keywords: | fractional Brownian motions hypothesis testing goodness-of-fit test volatility estimation |
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