Statistical test for fractional Brownian motion based on detrending moving average algorithm
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Publication:2201337
DOI10.1016/j.chaos.2018.08.031zbMath1442.62194arXiv1803.08553OpenAlexW2792743943WikidataQ129195983 ScholiaQ129195983MaRDI QIDQ2201337
Publication date: 29 September 2020
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1803.08553
Software, source code, etc. for problems pertaining to statistics (62-04) Fractional processes, including fractional Brownian motion (60G22) Monte Carlo methods (65C05) Non-Markovian processes: hypothesis testing (62M07)
Related Items (6)
Testing of fractional Brownian motion in a noisy environment ⋮ Boosting the performance of anomalous diffusion classifiers with the proper choice of features ⋮ Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes ⋮ 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
Uses Software
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