Maximum likelihood, neural networks and posterior mean for inferring fractional Brownian motion parameters

Daniel S. Han, Vaishnavi Ananthanarayanan, Matthew J. Simpson

Fractional Brownian motion (fBM) is a model of anomalous diffusion parameterised by a Hurst exponent $H\in (0,1)$ and a generalised diffusion coefficient $D_H>0$. We jointly est…