Fractional Brownian motion: difference iterative forecasting models
From MaRDI portal
Publication:2213636
DOI10.1016/j.chaos.2019.04.021zbMath1448.62136OpenAlexW2942455017WikidataQ128008199 ScholiaQ128008199MaRDI QIDQ2213636
Chi-Hung Chi, Ming Li, Wan-Qing Song, Yuan-Yuan Li, Carlo Cattani
Publication date: 2 December 2020
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2019.04.021
fractional Brownian motionlong-range dependencestochastic partial differential equationdifference equationmaximum likelihood algorithm
Inference from stochastic processes and prediction (62M20) Fractional processes, including fractional Brownian motion (60G22)
Related Items
Fractional Lévy stable motion: finite difference iterative forecasting model, Fractal teletraffic delay bounds in computer networks, An entropy-based estimator of the Hurst exponent in fractional Brownian motion, Optimal control of non-instantaneous impulsive second-order stochastic McKean-Vlasov evolution system with Clarke subdifferential, Long-range dependence and heavy tail characteristics for remaining useful life prediction in rolling bearing degradation, Generalized fractional Gaussian noise and its application to traffic modeling, APPLICATION OF FRACTAL DIMENSION OF FRACTIONAL BROWNIAN MOTION TO SUPPLY CHAIN FINANCING AND OPERATIONAL COMPREHENSIVE DECISION-MAKING
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the long-range dependence of fractional Brownian motion
- FARIMA with stable innovations model of Great Salt Lake elevation time series
- Itô's formula with respect to fractional Brownian motion and its application
- Estimating long-range dependence in the presence of periodicity: An empirical study
- Fractional Brownian motion with variable Hurst parameter: definition and properties
- Fractal time series -- A tutorial review
- Estimation of Hurst exponent revisited
- Modeling autocorrelation functions of self-similar teletraffic in communication networks based on optimal approximation in Hilbert space
- Record length requirement of long-range dependent teletraffic
- Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
- Averaged periodogram estimation of long memory
- Generalized Cauchy model of sea level fluctuations with long-range dependence
- On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
- An approximate approach to fractional analysis for finance
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Fractional differencing
- Wavelet analysis and synthesis of fractional Brownian motion
- Extremal behavior of heavy-tailed ON-periods in a superposition of ON/OFF processes
- Network heavy traffic modeling using α-stable self-similar processes
- Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
- Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
- Fractional Brownian Motions, Fractional Noises and Applications
