Выходит 12 номеров в год
ISSN Печать: 1064-2315
ISSN Онлайн: 2163-9337
Indexed in
An Iterative Algorithm of Estimating the Parameters of the Fractal Brownian Motion
Краткое описание
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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