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Title: | Mouvement Brownien fractionnaire ettechniques d’estimation du param`etre de Hurst |
Authors: | Boussaad, Abdelmalek Beggas, Sana |
Keywords: | processus stochastique Mouvement Brownien Fractionnaire M ́ethode de Choleski Log-p ́eriodogramme |
Issue Date: | 2020 |
Publisher: | UNIVERSIT ́E KASDI MERBAH OUARGLA |
Abstract: | Notre objectif dans ce m ́emoire est de focaliser sur les propri ́et ́es g ́en ́eralesd’un mouvement brownien fractionnaire (Mbf) avec un param`etre de HurstH∈]0,1[, r ́ealiser des simulations sous R concernant les trajectoires d’un mou-vement brownien fractionnaire avec la m ́ethode de Choleski et estimer le pa-ram`etre de Hurst par l’estimateur Log-p ́eriodogramme - Our aim in this dissertation is to focus on the general properties of a fractionalBrownian motion (Fbm) with a Hurst parameterH∈]0,1[, perform simulationsin R concerning the trajectories of a fractional Brownian motion with Choleskimethod and estimate the Hurst parameter by the Log-periodogram estimator. Our aim in this dissertation is to focus on the general properties of a fractional Brownian motion (Fbm) with a Hurst parameter H ∈ ]0, 1[ , perform simulations in R concerning the trajectories of a fractional Brownian motion with Choleski method and estimate the Hurst parameter by the Log-periodogram estimator. |
Description: | Probabilité et Statistiques |
URI: | http://dspace.univ-ouargla.dz/jspui/handle/123456789/24357 |
Appears in Collections: | Département de Mathématiques - Master |
Files in This Item:
File | Description | Size | Format | |
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Beggas-Sana.pdf | 431,37 kB | Adobe PDF | View/Open |
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