Please use this identifier to cite or link to this item:
https://elib.bsu.by/handle/123456789/94680| Title: | Variance gamma process simulation and it's parameters estimation |
| Authors: | Kuzmina, A. V. |
| Keywords: | ЭБ БГУ::ОБЩЕСТВЕННЫЕ НАУКИ::Информатика |
| Issue Date: | 2010 |
| Publisher: | Minsk: BSU |
| Abstract: | Variance gamma process is a three parameter process. Variance gamma process is simulated as a gamma time-change Brownian motion and as a difference of two independent gamma processes. Estimations of simulated variance gamma process parameters are presented in this paper. |
| URI: | http://elib.bsu.by/handle/123456789/94680 |
| Appears in Collections: | Section 3. PROBABILITY AND STATISTICAL ANALYSIS OF TIME SERIES AND STOCHASTIC PROCESSES Статьи факультета прикладной математики и информатики |
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| File | Description | Size | Format | |
|---|---|---|---|---|
| Untitled0242.pdf | 73,62 kB | Adobe PDF | View/Open |
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