Empirical anomaly measure for finite-variance processes

DOI10.1088/1751-8121/abcc84OpenAlexW3109261277MaRDI QIDQ5876329

Katarzyna Maraj, Dawid Szarek, Agnieszka Wyłomańska, Grzegorz Sikora

Publication date: 1 February 2023

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/abcc84

zbMATH Keywords

fractional Brownian motionMonte Carlo simulationsanomalous diffusionanomaly type testing

Mathematics Subject Classification ID

Quantum theory (81-XX) Statistical mechanics, structure of matter (82-XX)

Related Items (3)

Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes ⋮ Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient ⋮ Preface: characterisation of physical processes from anomalous diffusion data

Uses Software

• longmemo

Cites Work

• Free probability and random matrices
• Ergodic properties of anomalous diffusion processes
• Anomalous diffusion modeling by fractal and fractional derivatives
• Stable continuous-time autoregressive process driven by stable subordinator
• Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes
• Codifference as a practical tool to measure interdependence
• Recurrence statistics for anomalous diffusion regime change detection
• Testing of fractional Brownian motion in a noisy environment
• Statistical test for fractional Brownian motion based on detrending moving average algorithm
• Langevin picture of subdiffusion with infinitely divisible waiting times
• The fBm-driven Ornstein-Uhlenbeck process: Probability density function and anomalous diffusion
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• The tempered stable process with infinitely divisible inverse subordinators
• Characterizations and simulations of a class of stochastic processes to model anomalous diffusion
• Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes
• The restaurant at the end of the random walk: recent developments in the description of anomalous transport by fractional dynamics
• Fractional Brownian Motions, Fractional Noises and Applications
• Elements of Distribution Theory
• Superstatistics
• The random walk's guide to anomalous diffusion: A fractional dynamics approach
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Empirical anomaly measure for finite-variance processes