Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5499836 | Chaos, Solitons & Fractals | 2017 | 7 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Physics and Astronomy
Statistical and Nonlinear Physics
Authors
Valeria Bondarenko, Victor Bondarenko, Kyryl Truskovskyi,