Recurrence statistics for anomalous diffusion regime change detection

DOI10.1016/J.CSDA.2018.07.014zbMath1469.62143OpenAlexW2885455143WikidataQ129396385 ScholiaQ129396385MaRDI QIDQ1796971

Diego Krapf, Agnieszka Wyłomańska, Grzegorz Sikora

Publication date: 17 October 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2018.07.014

zbMATH Keywords

fractional Brownian motionsegmentationanomalous diffusion processanomalous diffusion exponent

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Fractional processes, including fractional Brownian motion (60G22)

Related Items (1)

Empirical anomaly measure for finite-variance processes

Uses Software

• longmemo

Cites Work

• Unnamed Item
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