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Journal of Automation and Information Sciences

年間 12 号発行

ISSN 印刷: 1064-2315

ISSN オンライン: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

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

巻 44, 発行 7, 2012, pp. 62-68
DOI: 10.1615/JAutomatInfScien.v44.i7.60
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要約

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.

参考
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によって引用された
  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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