A computational technique to classify several fractional Brownian motion processes

DOI10.1016/J.CHAOS.2021.111152MaRDI QIDQ2145498zbMATH OpenOpenAlexFDO

Authors Mohammad Reza Mahmoudi

Publication date 17 June 2022

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.chaos.2021.111152

zbMATH Keywords

classificationCOVID-19fractional Brownian motionfuzzy clustering

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Epidemiology (92D30) Fractional processes, including fractional Brownian motion (60G22)

Recommendations

• Fractional Brownian motion and clinical trials
• Forecasting of time data with using fractional Brownian motion
• Modelling and analysis of fractional Brownian motions
• Variance change point detection for fractional Brownian motion based on the likelihood ratio test
• scientific article; zbMATH DE number 1807619

Cites work

• A DISTANCE MEASURE FOR CLASSIFYING ARIMA MODELS
• A new frequency domain approach of testing for covariance stationarity and for periodic stationarity in multivariate linear processes
• A new method to compare the spectral densities of two independent periodically correlated time series
• A note on testing hypotheses for stationary processes in the frequency domain
• A note on using periodogram-based distances for comparing spectral densities
• A periodogram-based metric for time series classification
• A significance test for classifying arma models
• A test for a difference between spectral peak frequencies.
• Bayesian analysis of switching ARCH models
• Bootstrapping frequency domain tests in multivariate time series with an application to comparing spectral densities
• Chebyshev cardinal wavelets and their application in solving nonlinear stochastic differential equations with fractional Brownian motion
• Chebyshev cardinal wavelets for nonlinear stochastic differential equations driven with variable-order fractional Brownian motion
• Clustering financial time series: an application to mutual funds style analysis
• Clusters of time series
• Comparing non-stationary and irregularly spaced time series
• Comparison of Times Series with Unequal Length in the Frequency Domain
• Comparison of non-stationary time series in the frequency domain
• DISCRIMINATING BETWEEN TWO SPECTRAL DENSITIES IN CASE OF REPLICATED OBSERVATIONS
• Discrimination and Clustering for Multivariate Time Series
• Disoominkfrcn between gaussian time series based on their spectral differences
• Forecasting time series with sieve bootstrap
• Nonparametric Comparison of Cumulative Periodograms
• On sieve bootstrap prediction intervals.
• Spectral Analysis of Replicated Biomedical Time Series
• TESTS FOR COMPARING TWO ESTIMATED SPECTRAL DENSITIES
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Testing equality of spectral densities using randomization techniques
• Testing non-parametric hypotheses for stationary processes by estimating minimal distances
• Testing nonparametric and semiparametric hypotheses in vector stationary processes
• Testing the difference between spectral densities of two independent periodically correlated (cyclostationary) time series models
• Testing the difference between two independent time series models
• Time series clustering based on forecast densities
• Use of fuzzy clustering technique and matrices to classify amino acids and its impact to Chou's pseudo amino acid composition

Cited in

(2)

• Comment on ``A computational technique to classify several fractional Brownian motion processes
• Fuzzy clustering of time series with time-varying memory

This page was built for publication: A computational technique to classify several fractional Brownian motion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2145498)