Prediction and tracking of long-range-dependent sequences

DOI10.1016/J.SYSCONLE.2005.03.004MaRDI QIDQ2504607zbMATH OpenOpenAlexFDO

Authors Erhan Bayraktar, H. Vincent Poor, Raghuveer M. Rao

Publication date 25 September 2006

Published in Systems \& Control Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.sysconle.2005.03.004

zbMATH Keywords

fractional Gaussian noiselong range dependencetracking problems

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Signal detection and filtering (aspects of stochastic processes) (60G35)

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Cites work

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• ARBITRAGE IN FRACTAL MODULATED BLACK–SCHOLES MODELS WHEN THE VOLATILITY IS STOCHASTIC
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• Discrete-time models for statistically self-similar signals
• ESTIMATING THE FRACTAL DIMENSION OF THE S&P 500 INDEX USING WAVELET ANALYSIS
• Linear estimation of self-similar processes via Lamperti's transformation
• Multiple time scale congestion control for self-similar network traffic
• Multiple-Access Interference Processes Are Self-Similar in Multimedia CDMA Cellular Networks
• On the prediction of fractional Brownian motion
• Rate control of elastic connections competing with long-range dependent network traffic
• Signal detection in fractional Gaussian noise
• Stochastic Differential Games in a Non-Markovian Setting

Cited in

(2)

• Fractional Lévy stable motion: finite difference iterative forecasting model
• On the predictability of long-range dependent series

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