Comparative analysis of two numerical methods to measure Hausdorff dimension of the fractional Brownian motion
S. M. PrigarinInstitute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, pr. Akad. Lavrent’eva 6, Novosibirsk, 630090, RussiaKlaus HahnInstitute of Biomathematics and Biometry, Helmholtz Zentrum Muenchen, Ingolstädter Landstraße 1, Neuherberg, 85764, GermanyGerhard WinklerInstitute of Biomathematics and Biometry, Helmholtz Zentrum Muenchen, Ingolstädter Landstraße 1, Neuherberg, 85764, Germany
2008en
ABI
Abstract
Using Monte Carlo simulation techniques, we look at statistical properties of two numerical methods (the extended counting method and the variance counting method) developed to estimate the Hausdorff dimension of a time series and applied to the fractional Brownian motion.
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