Statistical test for fractional Brownian motion based on detrending moving average algorithm
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Publication:2201337
DOI10.1016/J.CHAOS.2018.08.031zbMATH Open1442.62194arXiv1803.08553OpenAlexW2792743943WikidataQ129195983 ScholiaQ129195983MaRDI QIDQ2201337FDOQ2201337
Publication date: 29 September 2020
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Abstract: Motivated by contemporary and rich applications of anomalous diffusion processes we propose a new statistical test for fractional Brownian motion, which is one of the most popular models for anomalous diffusion systems. The test is based on detrending moving average statistic and its probability distribution. Using the theory of Gaussian quadratic forms we determined it as a generalized chi-squared distribution. The proposed test could be generalized for statistical testing of any centered non-degenerate Gaussian process. Finally, we examine the test via Monte Carlo simulations for two exemplary scenarios of subdiffusive and superdiffusive dynamics.
Full work available at URL: https://arxiv.org/abs/1803.08553
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