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Портал Begell Электронная Бибилиотека e-Книги Журналы Справочники и Сборники статей Коллекции
Journal of Automation and Information Sciences
SJR: 0.238 SNIP: 0.464 CiteScore™: 0.27

ISSN Печать: 1064-2315
ISSN Онлайн: 2163-9337

Выпуски:
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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v45.i6.80
pages 82-86

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

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

Краткое описание

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.

ЛИТЕРАТУРА

  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.


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