@inproceedings{b5361dd47fe54fd39f341062ed953a5b,
title = "Principal component analysis of the fractional Brownian motion for 0 < H < 0.5",
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).",
author = "{\"O}zkurt, {Tolga Esat} and Tayfun Akg{\"u}l and S{\"u}leyman Baykut",
year = "2006",
language = "English",
isbn = "142440469X",
series = "ICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings",
pages = "III488--III491",
booktitle = "2006 IEEE International Conference on Acoustics, Speech, and Signal Processing - Proceedings",
note = "2006 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2006 ; Conference date: 14-05-2006 Through 19-05-2006",
}