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On comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process

dc.contributor.authorKubilius, Kęstutis
dc.contributor.authorMelichov, Dmitrij
dc.date.accessioned2023-09-18T16:46:44Z
dc.date.available2023-09-18T16:46:44Z
dc.date.issued2016
dc.identifier.issn1392-5113
dc.identifier.urihttps://etalpykla.vilniustech.lt/handle/123456789/116546
dc.description.abstractWe study some estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process and prove that they are strongly consistent and most of them are asymptotically normal. Moreover, we compare the asymptotic behavior of these estimators with the aid of computer simulations.eng
dc.formatPDF
dc.format.extentp. 861-882
dc.format.mediumtekstas / txt
dc.language.isoeng
dc.relation.isreferencedbyScience Citation Index Expanded (Web of Science)
dc.relation.isreferencedbyINSPEC
dc.relation.isreferencedbyZentralblatt MATH (zbMATH)
dc.source.urihttp://www.mii.vu.lt/na/issues/NA_2106/NA2169.pdf
dc.subjectFM03 - Fizinių, technologinių ir ekonominių procesų matematiniai modeliai ir metodai / Mathematical models and methods of physical, technological and economic processes
dc.titleOn comparison of the estimators of the Hurst index and the diffusion coefficient of the fractional Gompertz diffusion process
dc.typeStraipsnis Web of Science DB / Article in Web of Science DB
dcterms.references17
dc.type.pubtypeS1 - Straipsnis Web of Science DB / Web of Science DB article
dc.contributor.institutionVilniaus universitetas
dc.contributor.institutionVilniaus Gedimino technikos universitetas
dc.contributor.facultyFundamentinių mokslų fakultetas / Faculty of Fundamental Sciences
dc.subject.researchfieldN 001 - Matematika / Mathematics
dc.subject.ltspecializationsL104 - Nauji gamybos procesai, medžiagos ir technologijos / New production processes, materials and technologies
dc.subject.enfractional Gompertz diffusion process
dc.subject.enHurst index
dc.subject.endiffusion coefficient.
dcterms.sourcetitleNonlinear analysis: modelling and control
dc.description.issueNo. 6
dc.description.volumeVol. 21
dc.publisher.nameInstitute of Mathematics and Informatics
dc.publisher.cityVilnius
dc.identifier.doi000386881700009
dc.identifier.doi10.15388/NA.2016.6.9
dc.identifier.elaba18943201


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