Pakistan Science Abstracts
Choose Theme
1
2
3
4
Theme 1
— Green & Gold
Print
Save as PDF
Export BibTeX
Close
No Detail Found!
Home
›
Pakistan Journal of Statistics and Operation Research
Continuous wavelet estimation for multivariate fractional Brownian motion
Author(s)
Munaf Y. Hmood
University of Baghdad,,Iraq
Amjad H. Hamza
University of Baghdad,,Iraq
Abstract
In this paper, we propose a method using continuous wavelets to study the multivariate fractional Brownian motion through the deviations of the transformed random process to find an efficient estimate of Hurst exponent using eigenvalue regression of the covariance matrix. The results of simulations experiments shown that the performance of the proposed estimator was efficient in bias but the variance get increase as signal change from short to long memory the MASE increase relatively. The estimation process was made by calculating the eigenvalues for the variance-covariance matrix of Meyer's continuous wavelet details coefficients.
Publication Details
Page(s)
633-641
DOI
10.18187/pjsor.v18i3.3657
Published
Journal: Pakistan Journal of Statistics and Operation Research, Volume: 18, Issue: 3, Year: 2022
Request the full text from PASTIC
Keywords
Hurst exponent, Gaussian noise, long memory., Continuous wavelet transform, Multivariate fractional Brownian motion, Short memory, Meyer's wavelets
More from
Pakistan Journal of Statistics and Operation Research
A New Compound Lomax Model: Properties, Copulas, Modeling and Risk Analysis Utilizing the Negatively Skewed Insurance Claims Data
Construction of Some New Quasi Rees Neighbor Designs Using Cyclic Shifts
Optimization of Backpropagation Using Harmony Search for Gold Price Forecasting
The Generalized Odd Log-Logistic Fre´chet Distribution for Modeling Extreme Values
The Performance of Bayesian Analysis in Structural Equation Modelling to Construct The Health Behaviour During Pandemic COVID-19
0
Citations
0
Downloads
30
Views