Approximation of Time Series by Power Function of the Fractal Brownian Motion

Valeriya V. Bondarenko

doi:10.1615/JAutomatInfScien.v45.i6.80

Journal of Automation and Information Sciences

Chefredakteur: Arkadiy A. Chikriy (open in a new tab)

Mitherausgebers: Vyacheslav F. Gubarev (open in a new tab) Yuriy P. Kondratenko (open in a new tab) Nonna V. Turovyerova (open in a new tab)

Erscheint 12 Ausgaben pro Jahr

ISSN Druckformat: 1064-2315

ISSN Online: 2163-9337

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Approximation of Time Series by Power Function of the Fractal Brownian Motion

Volumen 45, Ausgabe 6, 2013, pp. 82-86

DOI: 10.1615/JAutomatInfScien.v45.i6.80

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Valeriya V. Bondarenko
Training Scientific Complex " Institute for Applied Systems Analysis of National Technical University of Ukraine "Kiev Polytechnic Institute"

ABSTRAKT

For increments of time series from increments of the fractal Brownian motion (fBm) we proposed the method of approximation by power function. For approximating fBm we performed estimation of parameters by means of the algorithm, proposed by the author.

SCHLÜSSELWÖRTER: increments of time series, increments of the fractal Brownian motion, fBm, method of approximation, power functions, estimation of parameters.

REFERENZEN

Coeurjolly J.-F. , Simulation and identification of the fractional Brownian motion: A bibliographical and comparative study.
Bondarenko V.V. , An iterative algorithm of estimating the parameters of the fractal Brownian motion.
Peltier R.F., Levy Vehel J. , A new method for estimating the parameter of fractional Brownian motion.
Coeurjolly J.-F. , Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles.

REFERENZIERT VON

Bondarenko Valeria, Bondarenko Victor, Truskovskyi Kyryl, Forecasting of time data with using fractional Brownian motion, Chaos, Solitons & Fractals, 97, 2017. Crossref

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