Fractional Brownian motion: difference iterative forecasting models
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Cites work
- An approximate approach to fractional analysis for finance
- Averaged periodogram estimation of long memory
- Estimating long-range dependence in the presence of periodicity: An empirical study
- Estimation of Hurst exponent revisited
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Extremal behavior of heavy-tailed ON-periods in a superposition of ON/OFF processes
- FARIMA with stable innovations model of Great Salt Lake elevation time series
- Fractal time series -- A tutorial review
- Fractional Brownian motion with variable Hurst parameter: definition and properties
- Fractional Brownian Motions, Fractional Noises and Applications
- Fractional differencing
- Gaussian self-affinity and fractals. Globality, the earth, 1/f noise, and R/S. Selecta (old or new) volume H. With contributions by F. J. Damerau, M. Frame, K. McCamy, J. W. Van Ness, J. R. Wallis, and others. Selected works of Benoit B. Mandelbrot
- Generalized Cauchy model of sea level fluctuations with long-range dependence
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- scientific article; zbMATH DE number 961607 (Why is no real title available?)
- Itô's formula with respect to fractional Brownian motion and its application
- Modeling autocorrelation functions of self-similar teletraffic in communication networks based on optimal approximation in Hilbert space
- Network heavy traffic modeling using α-stable self-similar processes
- On the long-range dependence of fractional Brownian motion
- On the representation of fractional Brownian motion as an integral with respect to (dt)^a
- Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
- Record length requirement of long-range dependent teletraffic
- Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
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Cited in
(10)- Forecasting of time data with using fractional Brownian motion
- Generalized fractional Gaussian noise and its application to traffic modeling
- Fractional Lévy stable motion: finite difference iterative forecasting model
- Fractal teletraffic delay bounds in computer networks
- An entropy-based estimator of the Hurst exponent in fractional Brownian motion
- APPLICATION OF FRACTAL DIMENSION OF FRACTIONAL BROWNIAN MOTION TO SUPPLY CHAIN FINANCING AND OPERATIONAL COMPREHENSIVE DECISION-MAKING
- Optimal control of non-instantaneous impulsive second-order stochastic McKean-Vlasov evolution system with Clarke subdifferential
- Long-range dependence and heavy tail characteristics for remaining useful life prediction in rolling bearing degradation
- Indirect adaptive inverse control synthesis via fractional least mean square algorithm
- Parameter identification of the Black-Scholes model driven by multiplicative fractional Brownian motion
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