On the optimal forecast with the fractional Brownian motion
This paper examines the performance of alternative forecasting formulae with the fractional Brownian motion based on a discrete and finite sample. One formula gives the optimal forecast when a continuous record over the infinite past is available. Another formula gives the optimal forecast when a co...
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| Main Authors: | , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2022
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/2632 https://ink.library.smu.edu.sg/context/soe_research/article/3631/viewcontent/Forecasting_fBm06.pdf |
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| Institution: | Singapore Management University |
| Language: | English |