Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/121097
Title: PARAMETER ESTIMATION ON FRACTIONAL BROWNIAN MOTION
Authors: LI DAN
Keywords: fractional Brownian motion, Hurst exponent estimation
Issue Date: 10-Jun-2015
Citation: LI DAN (2015-06-10). PARAMETER ESTIMATION ON FRACTIONAL BROWNIAN MOTION. ScholarBank@NUS Repository.
Abstract: This thesis examines the application of statistical parameter estimation techniques to noisy experimental data on fractional Brownian motion. Chapter 1 reviews the theory of anomalous diffusion, fractional Brownian motion, Hurst parameter, and parameter estimation. Chapter 2 describes the experimental data we studied, a generalized Langevin model of the data, and the corresponding power spectral density. Chapter 3 introduces Whittle?s method of maximum-likelihood parameter estimation and also presents our core results of applying the method to experimental data. Chapter 4 introduces a Bayesian method of parameter estimation and compares the two estimation methods when applied to experimental data. Chapter 5 concludes with a test of our estimation methods using simulated data and a discussion of potential future work.
URI: http://scholarbank.nus.edu.sg/handle/10635/121097
Appears in Collections:Master's Theses (Open)

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