Efficient estimators for geometric fractional brownian motion perturbed by fractional Ornstein-Uhlenbeck process

• Main Authors: Alhagyan, Mohammed, Misiran, Masnita, Omar, Zurni
• 格式: Article
• 出版: Pushpa Publishing House 2020
• 主题: QA75 Electronic computers. Computer science
• 在线阅读: http://repo.uum.edu.my/27914/; http://doi.org/10.17654/AS062020203

This paper discusses an enhanced model of geometric fractional Brownian motion where its volatility is assumed to be stochastic volatility model obey fractional Ornstein-Uhlenbeck process. The method of estimation for all parameters in this model are derived. After, simulation experiments are condu...