Principal component analysis of the fractional Brownian motion for 0 < H < 0.5

Tolga Esat Özkurt*, Tayfun Akgül, Süleyman Baykut

*Corresponding author for this work

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

9 Citations (Scopus)

Abstract

Principal component analysis (PCA) has been proposed for the estimation of the self-similarity parameter H, namely the Hurst parameter of I/f processes, and an analytical proof is provided only for H=0.5 in a recent study [1]. In our paper, we extend this study by deriving explicit expressions and presenting an analytical proof for the range of 0 < H < 0.5 (the anti-persistent part of the fractional Brownian motion). We also show via simulations that the accuracy of the estimated H values may decrease considerably as the theoretical H value increases towards the persistent part (0.5< H < 1).

Original languageEnglish
Title of host publication2006 IEEE International Conference on Acoustics, Speech, and Signal Processing - Proceedings
PagesIII488-III491
Publication statusPublished - 2006
Event2006 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2006 - Toulouse, France
Duration: 14 May 200619 May 2006

Publication series

NameICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Volume3
ISSN (Print)1520-6149

Conference

Conference2006 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2006
Country/TerritoryFrance
CityToulouse
Period14/05/0619/05/06

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