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Comparative analysis of two numerical methods to measure Hausdorff dimension of the fractional Brownian motion

S. M. PrigarinRussian Academy of SciencesKlaus 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

Annotatsiya

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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Identifikatorlar

DOI: 10.1134/s1995423908020079

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