Forecasting of time data with using fractional Brownian motion

被引：3

作者：

Bondarenko, Valeria ^{[1
]}

Bondarenko, Victor ^{[2
]}

Truskovskyi, Kyryl ^{[2
]}

机构：

[1] Ecole Cent Nantes, Nantes, France

[2] Natl Tech Univ Ukraine, Kiev Polytech Univ, Kiev, Ukraine

来源：

CHAOS SOLITONS & FRACTALS | 2017年 / 97卷

关键词：

Stochastic model; Optimal forecast; Fractional Brownian motion; ASYMPTOTIC-BEHAVIOR; POWER VARIATIONS; HURST PARAMETER; CALCULUS; RESPECT;

D O I：

10.1016/j.chaos.2017.01.013

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We investigated the quality of forecasting of fractional Brownian motion, and new method for estimating of Hurst exponent is validated. Stochastic model of the time series in the form of converted fractional Brownian motion is proposed. The method of checking the adequacy of the proposed model is developed and short-term forecasting for temporary data is constructed. The research results are implemented in software tools for analysis and modeling of time series. (C) 2017 Elsevier Ltd. All rights reserved.

引用

页码：44 / 50

页数：7

共 33 条

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