FindProcessParameters for Fractional Brownian Motion Returns Error

Question

I have the following data:

x={11.477, 5.9009, 3.77, 12.171, 9.7534, 12.905, 6.933, 4.6517, 7.601, \
3.5294, 13.086, 7.5675, -0.1665, 5.2741, 7.657, 12.536, 2.2046, \
3.0679, 10.777, 13.505, 15.199, 14.02, 10.36, 14.502, 22.701, 22.733, \
23.34, 22.694, 22.222, 19.866, 18.393, 11.18, 8.936, 12.689, 5.2338, \
4.6382, 9.5113, 4.2222, 4.8046, -0.2615, 26.651, 2.6889, 14.937, \
7.7831, 18.225, 23.549, 13.313, 9.3008, 3.6867, 12.954, 11.04, \
19.219, -3.3798, 13.351, 14.368, 13.044, 14.143, 21.393, 23.952, \
22.603, 14.976, 20.189, 23.61}

When executing FindProcessParameters as follows in Mathematica 10:

FindProcessParameters[x, FractionalBrownianMotionProcess[h]]

I get the following error:

FindProcessParameters::invproc: Estimated process parameter(s) yielded an invalid process. >

Any ideas on why?

Answer 1

In Version 9

FindProcessParameters[x, FractionalBrownianMotionProcess[h]]

returns {h -> -0.0257885} without an error message.

However, since h should be non-negative, this is an invalid result. In fact

ProcessParameterQ[FractionalBrownianMotionProcess[-0.0257885]]

gives the error message with and returns False:

In Version 10, rather than returning an invalid estimate FindProcessParameters returns with the "invalid process" message.