Variance change point detection for fractional Brownian motion based on the likelihood ratio test
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DOI: 10.1016/j.physa.2017.08.134
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Cited by:
- Cai, Chunhao & Cheng, Xuwen & Xiao, Weilin & Wu, Xiang, 2019. "Parameter identification for mixed fractional Brownian motions with the drift parameter," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
- Muhammad Rizwan Khan & Biswajit Sarkar, 2019. "Change Point Detection for Airborne Particulate Matter ( PM 2.5 , PM 10 ) by Using the Bayesian Approach," Mathematics, MDPI, vol. 7(5), pages 1-42, May.
- Sikora, Grzegorz & Wyłomańska, Agnieszka & Krapf, Diego, 2018. "Recurrence statistics for anomalous diffusion regime change detection," Computational Statistics & Data Analysis, Elsevier, vol. 128(C), pages 380-394.
- Wang, Li-Na & Wang, Kai & Shen, Jiang-Long, 2020. "Weighted complex networks in urban public transportation: Modeling and testing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
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Keywords
Estimator; Fractional Brownian motion; Long memory; Short memory; Change point detection;All these keywords.
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