搜索结果: 1-11 共查到“理论统计学 fractional Brownian motion”相关记录11条 . 查询时间(0.151 秒)
On the Maximum Workload of a Queue Fed by Fractional Brownian Motion
Long-range dependence queues fractional Brownian motion extreme values
2015/7/8
Consider a queue with a stochastic fluid input process modeled as fractional Brownian motion (fBM). When the queue is stable, we prove that the maximum of the workload process observed over an interva...
Reconstruction of Fractional Brownian Motion Signals From Its Sparse Samples Based on Compressive Sampling
Compressive Sampling fractional Brownian motion interpolation financial time-series fractal
2011/6/21
This paper proposes a new fBm (fractional Brownian
motion) interpolation/reconstruction method from partially
known samples based on CS (Compressive Sampling). Since 1/f
property implies power law ...
Identification of the Multivariate Fractional Brownian Motion
Self similarity Multivariate process Long-range dependence Discrete variations Parametric estimation
2011/3/21
This paper deals with the identification of the multivariate fractional Brownian motion, a recently developed extension of the fractional Brownian motion to the multivariate case. This process is a $p...
Approximating a geometric fractional Brownian motion and related processes via discrete Wick calculus
discrete Wick calculus fractional Brownian motion weak convergence
2010/10/19
We approximate the solution of some linear systems of SDEs driven by a fractional Brownian motion $B^H$ with Hurst parameter $H\in(\frac{1}{2},1)$ in the Wick--It\^{o} sense, including a geometric fra...
Fractional Brownian Motion and the Markov Property
Gaussian processes Markov Processes Numerical Approximation Ergodic Theorem
2009/5/8
Fractional Brownian motion belongs to a class of long memory Gaussian processes that can be represented as linear functionals of an infinite dimensional Markov process. This leads naturally to:
1. A...
A connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand
heat equation white noise stochastic partial differential equations
2009/4/29
We give a new representation of fractional Brownian motion with Hurst parameter $Hleqfrac{1}{2}$ using stochastic partial differential equations. This representation allows us to use the Markov proper...
We define a Fractional Brownian Motion indexed by a sphere, or more generally by a compact rank one symmetric space, and prove that it exists if, and only if, 0< H leq 1/2. We then prove that Fraction...
A connection between the stochastic heat equation and fractional Brownian motion, and a simple proof of a result of Talagrand
stochastic fractional Brownian motion
2009/4/22
We give a new representation of fractional Brownian motion with Hurst parameter $Hleqfrac{1}{2}$ using stochastic partial differential equations. This representation allows us to use the Markov proper...
Some Extensions of Fractional Brownian Motion and Sub-Fractional Brownian Motion Related to Particle Systems
Brownian Motion three self-similar long-range dependence Gaussian processes
2009/3/23
In this paper we study three self-similar, long-range dependence, Gaussian processes. The first one, with covariance ∫0min(s,t) ua [(t-u)b+(s-u)b]du,parameters a > -1, -1 < b ≤ 1, |b| ≤ 1 + a, corresp...
Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
Concentration Inequalities Exact confidence intervals Fractional Brownian motion Hurst parameter
2010/3/17
In this short note, we show how to use concentration inequalities in order to build exact
confidence intervals for the Hurst parameter associated with a one-dimensional fractional Brownian motion.
Identification of the multiscale fractional Brownian motion with biomechanical applications
Biomechanics Detection of change Goodness-of-fit test Fractional Brownian motion Semi-parametric estimation Wavelet analysis
2010/4/26
In certain applications, for instance biomechanics, turbulence, finance, or Internet traffic, it seems suitable to model the data by a generalization of a fractional Brownian motion for which the Hurs...