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Journal of Automation and Information Sciences

Published 12 issues per year

ISSN Print: 1064-2315

ISSN Online: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

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An Iterative Algorithm of Estimating the Parameters of the Fractal Brownian Motion

Volume 44, Issue 7, 2012, pp. 62-68
DOI: 10.1615/JAutomatInfScien.v44.i7.60
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ABSTRACT

For time series, which is a realization of the fractal Brownian motion (fBm), an algorithm of estimating its parameters: the Hurst exponent and its volatility, is proposed. The algorithm is illustrated on fBm data obtained by means of simulation.

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CITED BY
  1. Sikora Grzegorz, Statistical test for fractional Brownian motion based on detrending moving average algorithm, Chaos, Solitons & Fractals, 116, 2018. Crossref

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