Probabilistic analysis of recurrence plots generated by fractional Gaussian noise

DOI10.1063/1.5030522zbMath1396.62216OpenAlexW2889056878WikidataQ63980015 ScholiaQ63980015MaRDI QIDQ4685038

Frédéric Bouchara, Sofiane Ramdani, Annick Lesne

Publication date: 4 October 2018

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL: https://hal-lirmm.ccsd.cnrs.fr/lirmm-02050628/file/Chaos-RQA.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22)

Related Items (2)

Recurrence plots for characterizing random dynamical systems ⋮ Fractal analysis of recurrence networks constructed from the two-dimensional fractional Brownian motions

Uses Software

• longmemo
• K2
• QSIMVN

Cites Work

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• Approximation of diagonal line based measures in recurrence quantification analysis
• STRONG LAWS FOR RECURRENCE QUANTIFICATION ANALYSIS
• Nonlinear Time Series Analysis
• On the fractal dimension of self-affine profiles
• Fractional Brownian Motions, Fractional Noises and Applications
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM

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