| Home | << 1 >> |
|
| Record | |||||
|---|---|---|---|---|---|
| Author | Araya, H.; Plaza-Vega, F. | ||||
| Title | Parameter estimation for fractional power type diffusion: A hybrid Bayesian-deep learning approach | Type | |||
| Year | 2023 | Publication | Communications In Statistics-Theory And Methods | Abbreviated Journal | Commun. Stat.-Theory Methods |
| Volume | Early Access | Issue | Pages | ||
| Keywords | Parameter estimation; power-type fractional diffusion; fractional Brownian motion; ABC | ||||
| Abstract | In this article, we consider the problem of parameter estimation in a power-type diffusion driven by fractional Brownian motion with Hurst parameter in (1/2,1). To estimate the parameters of the process, we use an approximate bayesian computation method. Also, a particular case is addressed by means of variations and wavelet-type methods. Several theoretical properties of the process are studied and numerical examples are provided in order to show the small sample behavior of the proposed methods. | ||||
| Address | |||||
| Corporate Author | Thesis | ||||
| Publisher | Place of Publication | Editor | |||
| Language | Summary Language | Original Title | |||
| Series Editor | Series Title | Abbreviated Series Title | |||
| Series Volume | Series Issue | Edition | |||
| ISSN | 0361-0926 | ISBN | Medium | ||
| Area | Expedition | Conference | |||
| Notes | WOS:001120573700001 | Approved | |||
| Call Number | UAI @ alexi.delcanto @ | Serial | 1919 | ||
| Permanent link to this record | |||||