Is PCA reliable for the analysis of fractional Brownian motion?

Tolga Esat Özkurt*, Tayfun Akgül

*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

4 Citations (Scopus)

Abstract

Estimation of the self-similarity parameter, also known as Hurst (H) parameter, is an important issue. In this paper, we study one of the H parameter estimation methods, namely the Principal Component Analysis (PCA) and show that this method may not give reliable results for the persistent part (H>0.5) of the fractional Brownian motion. Moreover, when the results are unreliable, the eigenvalue progression seriously deviates from linearity. Thus, with a linear-fit error threshold, one can comment on the reliability for the results of the PCA method.

Original languageEnglish
Title of host publication13th European Signal Processing Conference, EUSIPCO 2005
Pages1620-1623
Number of pages4
Publication statusPublished - 2005
Event13th European Signal Processing Conference, EUSIPCO 2005 - Antalya, Turkey
Duration: 4 Sept 20058 Sept 2005

Publication series

Name13th European Signal Processing Conference, EUSIPCO 2005

Conference

Conference13th European Signal Processing Conference, EUSIPCO 2005
Country/TerritoryTurkey
CityAntalya
Period4/09/058/09/05

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