Download This PaperSelf-Similarity Parameter Estimation for K-Dimensional Processes
4th IEEE International Conference on Computer Science and Information Technology, Chengdu, China, June 10-12, 2011
5 Pages Posted: 18 Jul 2011 Last revised: 1 Aug 2011
Date Written: July 28, 2011
Abstract
An algorithm is proposed that allows to estimate the self-similarity parameter of a fractal k-dimensional stochastic process. Our technique greatly improves the processing times of a distribution-based estimator, that–introduced years ago–efficiently worked only in the one-dimensional distribution case.
Keywords: self-similar processes, fractional Brownian motion, estimator, algorithm
JEL Classification: C12, C13, C22
Suggested Citation: Suggested Citation
Bianchi, Sergio and Pantanella, Alexandre and Palazzo, Anna Maria and Pianese, Augusto, Self-Similarity Parameter Estimation for K-Dimensional Processes (July 28, 2011). 4th IEEE International Conference on Computer Science and Information Technology, Chengdu, China, June 10-12, 2011, Available at SSRN: https://ssrn.com/abstract=1888208
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