Constant-Order Fractional Processes
作者： Hu Sheng , YangQuan Chen , TianShuang Qiu , Hu Sheng , YangQuan Chen
DOI: 10.1007/978-1-4471-2233-3_3
关键词:
摘要: Chapter 3 deals with the constant-order fractional processes and Hurst parameter estimators evaluation. A process a constant long memory can be regarded as output signal of fractional-order system driven by white Gaussian noise. Typical including Brownian motion, noise, stable characterized its H, or exponent. In this chapter, long-range dependent are introduced. Furthermore, robustness accuracy twelve extensively studied.
springer.com
springerlink.com参考文章(33)
Norio Kôno, Makoto Maejima, Self-Similar Stable Processes with Stationary Increments Birkhäuser Boston. pp. 275- 295 ,(1991) , 10.1007/978-1-4684-6778-9_13
Murad S Taqqu, Paul Doukhan, Georges Oppenheim, Theory and applications of long-range dependence Birkhäuser. ,(2003)
Vadim Teverovsky, Murad S. Taqqu, On estimating the intensity of long-range dependence in finite and infinite variance time series A practical guide to heavy tails. pp. 177- 217 ,(1998)
John A. Gubner, Probability and Random Processes for Electrical and Computer Engineers Cambridge University Press. ,(2006) , 10.1017/CBO9780511813610
Richard G. Clegg, A practical guide to measuring the Hurst parameter arXiv: Statistics Theory. ,(2006)
Murad S. Taqqu, Vadim Teverovsky, Robustness of whittle-type estimators for time series with long-range dependence Heavy Tails and Highly Volatile Phenomena. Satellite Meeting. ,vol. 13, pp. 723- 757 ,(1997) , 10.1080/15326349708807449
Manuel Duarte Ortigueira, Arnaldo Guimarães Batista, On the relation between the fractional Brownian motion and the fractional derivatives Physics Letters A. ,vol. 372, pp. 958- 968 ,(2008) , 10.1016/J.PHYSLETA.2007.08.062
John Geweke, Susan Porter-Hudak, THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS Journal of Time Series Analysis. ,vol. 4, pp. 221- 238 ,(1983) , 10.1111/J.1467-9892.1983.TB00371.X
Uwe Hassler, REGRESSION OF SPECTRAL ESTIMATORS WITH FRACTIONALLY INTEGRATED TIME SERIES Journal of Time Series Analysis. ,vol. 14, pp. 369- 380 ,(1993) , 10.1111/J.1467-9892.1993.TB00151.X
T. Higuchi, Approach to an irregular time series on the basis of the fractal theory Physica D: Nonlinear Phenomena. ,vol. 31, pp. 277- 283 ,(1988) , 10.1016/0167-2789(88)90081-4