Recurrence statistics for anomalous diffusion regime change detection

DOI10.1016/J.CSDA.2018.07.014MaRDI QIDQ1796971zbMATH OpenOpenAlexWikidataFDO

Authors Grzegorz Sikora, Agnieszka Wyłomańska, Diego Krapf

Publication date 17 October 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2018.07.014

zbMATH Keywords

fractional Brownian motionsegmentationanomalous diffusion processanomalous diffusion exponent

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to biology and medical sciences; meta analysis (62P10) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Automatic speech signal segmentation based on the innovation adaptive filter
• Diffusion and reactions in fractals and disordered systems
• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional Langevin equation
• Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices
• Modeling single-file diffusion with step fractional Brownian motion and a generalized fractional Langevin equation
• Pricing electricity derivatives within a Markov regime-switching model: a risk premium approach
• Regime Variance Testing --- a Quantile Approach
• Structural break detection method based on the adaptive regression splines technique
• Variance change point detection for fractional Brownian motion based on the likelihood ratio test

Cited in

(1)

• Empirical anomaly measure for finite-variance processes

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