Fractional Brownian motion: difference iterative forecasting models

Cites Work

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Fractional differencing
Fractional Brownian Motions, Fractional Noises and Applications
Averaged periodogram estimation of long memory
ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
Wavelet analysis and synthesis of fractional Brownian motion
Estimation of Hurst exponent revisited
Itô's formula with respect to fractional Brownian motion and its application
On the representation of fractional Brownian motion as an integral with respect to \((dt)^a\)
Fractal time series -- A tutorial review
An approximate approach to fractional analysis for finance
Network heavy traffic modeling using α-stable self-similar processes
FARIMA with stable innovations model of Great Salt Lake elevation time series
Wavelet estimation of the long memory parameter for Hermite polynomial of Gaussian processes
On the long-range dependence of fractional Brownian motion
Estimating long-range dependence in the presence of periodicity: An empirical study
Option pricing of fractional version of the Black-Scholes model with Hurst exponent \(H\) being in \((\frac{1}{3},\frac{1}{2})\).
Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
Fractional Brownian motion with variable Hurst parameter: definition and properties
Modeling autocorrelation functions of self-similar teletraffic in communication networks based on optimal approximation in Hilbert space
Record length requirement of long-range dependent teletraffic
Generalized Cauchy model of sea level fluctuations with long-range dependence
Extremal behavior of heavy-tailed ON-periods in a superposition of ON/OFF processes

Cited In (8)

Fractional Lévy stable motion: finite difference iterative forecasting model
APPLICATION OF FRACTAL DIMENSION OF FRACTIONAL BROWNIAN MOTION TO SUPPLY CHAIN FINANCING AND OPERATIONAL COMPREHENSIVE DECISION-MAKING
An entropy-based estimator of the Hurst exponent in fractional Brownian motion
Indirect adaptive inverse control synthesis via fractional least mean square algorithm
Generalized fractional Gaussian noise and its application to traffic modeling
Fractal teletraffic delay bounds in computer networks
Long-range dependence and heavy tail characteristics for remaining useful life prediction in rolling bearing degradation
Optimal control of non-instantaneous impulsive second-order stochastic McKean-Vlasov evolution system with Clarke subdifferential

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