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Journal of Automation and Information Sciences

Publicado 12 números por año

ISSN Imprimir: 1064-2315

ISSN En Línea: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

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

Volumen 45, Edición 6, 2013, pp. 82-86
DOI: 10.1615/JAutomatInfScien.v45.i6.80
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SINOPSIS

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.

REFERENCIAS
  1. Coeurjolly J.-F. , Simulation and identification of the fractional Brownian motion: A bibliographical and comparative study.

  2. Bondarenko V.V. , An iterative algorithm of estimating the parameters of the fractal Brownian motion.

  3. Peltier R.F., Levy Vehel J. , A new method for estimating the parameter of fractional Brownian motion.

  4. Coeurjolly J.-F. , Hurst exponent estimation of locally self-similar Gaussian processes using sample quantiles.

CITADO POR
  1. 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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