A fractional linear system view of the fractional Brownian motion

DOI10.1007/S11071-004-3762-8zbMath1115.60044OpenAlexW2100418959MaRDI QIDQ2499402

Arnaldo Guimarães Batista, Manuel Duarte Ortigueira

Publication date: 14 August 2006

Published in: Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10362/2618

zbMATH Keywords

fractional differintegrationaggregation variance methoddiscrete time fractional Brownian motion

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Self-similar stochastic processes (60G18)

Related Items (10)

Computation of fractional order derivative and integral via power series expansion and signal modelling ⋮ Radiating subdispersive fractional optical solitons ⋮ Fractional dynamics in the Rayleigh's piston ⋮ Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation ⋮ Fractal time series -- A tutorial review ⋮ Variance bound of ACF estimation of one block of fGn with LRD ⋮ Comments on ``Modeling fractional stochastic systems as non-random fractional dynamics driven Brownian motions ⋮ On the relation between the fractional Brownian motion and the fractional derivatives ⋮ Fractional order description of DNA ⋮ Fractional derivative of power type functions

Cites Work

• Unnamed Item
• Unnamed Item
• On the quadratic mapping \(z\rightarrow z^{2}-\mu \) for complex \(\mu \) and \(z\): the fractal structure of its set, and scaling
• A correlation-based computational model for synthesizing long-range dependent data.
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Fractional differencing
• Spectral representation of fractional Brownian motion in n dimensions and its properties
• A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications

This page was built for publication: A fractional linear system view of the fractional Brownian motion