On the Estimation of the Persistence Exponent for a Fractionally Integrated Brownian Motion by Numerical Simulations
For a fractionally integrated Brownian motion (FIBM) of order <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mrow><mi>α</mi><mo>∈</mo><mo>(</mo><mn>0</mn><mo&...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2023-01-01
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| Series: | Fractal and Fractional |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2504-3110/7/2/107 |