Testing of fractional Brownian motion in a noisy environment
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Publication:2123579
Abstract: Fractional Brownian motion (FBM) is the only Gaussian self-similar process with stationary increments. Its increment process, called fractional Gaussian noise, is ergodic and exhibits a property of power-like decaying autocorrelation function (ACF) which leads to the notion of long memory. These properties have made FBM important in modelling real-world data recorded in different experiments ranging from biology to telecommunication. These experiments are often disturbed by a noise which source can be just the instrument error. In this paper we propose a rigorous statistical test based on the ACF for FBM with added white Gaussian noise. To this end we derive a distribution of the test statistic which is given explicitly by the generalized chi-squared distribution. This allows us to find critical regions for the test with a given significance level. We check the quality of the introduced test by studying its power and comparing with other tests existing in the literature. We also note that the introduced test procedure can be applied to an arbitrary Gaussian process.
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Cited in
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- Fractional Brownian motions: memory, diffusion velocity, and correlation functions
- Discriminating Gaussian processes via quadratic form statistics
- Time-averaged mean squared displacement ratio test for Gaussian processes with unknown diffusion coefficient
- Empirical anomaly measure for finite-variance processes
- Testing of two-dimensional Gaussian processes by sample cross-covariance function
- Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics
- Goodness-of-fit test for stochastic processes using even empirical moments statistic
- Statistical testing-based framework for differentiating anomalous diffusion models with constant and random parameters
- Modified sign method for testing the fractality of Gaussian noise
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