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

Tolga Esat Özkurt*, Tayfun Akgül, Süleyman Baykut

*Bu çalışma için yazışmadan sorumlu yazar

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9 Atıf (Scopus)

Özet

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).

Orijinal dilİngilizce
Ana bilgisayar yayını başlığı2006 IEEE International Conference on Acoustics, Speech, and Signal Processing - Proceedings
SayfalarIII488-III491
Yayın durumuYayınlandı - 2006
Etkinlik2006 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2006 - Toulouse, France
Süre: 14 May 200619 May 2006

Yayın serisi

AdıICASSP, IEEE International Conference on Acoustics, Speech and Signal Processing - Proceedings
Hacim3
ISSN (Basılı)1520-6149

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???event.eventtypes.event.conference???2006 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2006
Ülke/BölgeFrance
ŞehirToulouse
Periyot14/05/0619/05/06

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