Decomposing the effect of anomalous diffusion enables direct calculation of the Hurst exponent and model classification for single random paths

DOI10.1088/1751-8121/ac72d4OpenAlexW4281481867MaRDI QIDQ5053927

Philipp G. Meyer, Holger Kantz, Erez Aghion

Publication date: 29 November 2022

Published in: Journal of Physics A: Mathematical and Theoretical (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1751-8121/ac72d4

zbMATH Keywords

time-series analysisanomalous diffusion exponentdecomposing anomalous diffusionprocess inference

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Causal inference from observational studies (62D20) Anomalous diffusion models (subdiffusion, superdiffusion, continuous-time random walks, etc.) (60K50)

Related Items (1)

Preface: characterisation of physical processes from anomalous diffusion data

Cites Work

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• Detecting long-range correlations with detrended fluctuation analysis

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