Estimation of relative intensity and relative finality of fBm

Addie, Ron (2019) Estimation of relative intensity and relative finality of fBm. Technical Report. University of Southern Queensland , Toowoomba, Australia. [Report]

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Abstract

This mathematica notebook is based on the one called fBmShiftTransformation10b.nb, which was in turn based on animate/animate3.nb. Section 1 includes basic definitions, Section 2 defines a function which estimates exit probability, for a process with a given down-crossing, by simulation. Section 3 then estimates the last exit density, which is carried out in detail for the cases H=0.75, 0.5, 0.85, and 0.35. Relative finality is found by fitting to the simulations, and this is then used to estimate the last exit density.


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Item Type: Report (Technical Report)
Item Status: Live Archive
Additional Information: This is a technical report which provides detailed technical information relevant to other publications.
Faculty/School / Institute/Centre: Current - Faculty of Health, Engineering and Sciences - School of Agricultural, Computational and Environmental Sciences
Date Deposited: 26 May 2019 23:54
Last Modified: 27 May 2019 00:04
Uncontrolled Keywords: fBm, last exit, simulation, mathematica
Fields of Research : 01 Mathematical Sciences > 0104 Statistics > 010404 Probability Theory
Socio-Economic Objective: B Economic Development > 89 Information and Communication Services > 8901 Communication Networks and Services > 890103 Mobile Data Networks and Services
B Economic Development > 89 Information and Communication Services > 8901 Communication Networks and Services > 890101 Fixed Line Data Networks and Services
URI: http://eprints.usq.edu.au/id/eprint/36478

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