{"title":"The Power Approximation of Time Series with Using Fractional Brownian Motion","authors":"Bondarenko","doi":"10.4172/2168-9679.1000353","DOIUrl":null,"url":null,"abstract":"We propose the approximating sequence and some of characteristics of this sequence to coincide with the increments of the fractional Brownian motion (fractional Browniannoise) for the observed time series. We study the Hurst parameter estimation algorithm and check the quality of the approximation.","PeriodicalId":15007,"journal":{"name":"Journal of Applied and Computational Mathematics","volume":"21 1","pages":"1-5"},"PeriodicalIF":0.0000,"publicationDate":"2017-04-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Applied and Computational Mathematics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.4172/2168-9679.1000353","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
Abstract
We propose the approximating sequence and some of characteristics of this sequence to coincide with the increments of the fractional Brownian motion (fractional Browniannoise) for the observed time series. We study the Hurst parameter estimation algorithm and check the quality of the approximation.
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