Self-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

See all articles by Sergio Bianchi

Sergio Bianchi

University of Cassino

Alexandre Pantanella

University of Cassino

Anna Maria Palazzo

University of Cassino

Augusto Pianese

University of Cassino

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

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

Sergio Bianchi (Contact Author)

University of Cassino ( email )

Via S. Angelo - Campus Folcara
Dept. of Economics and Law
Cassino, 03043
Italy
+3907762994846 (Phone)
+390776393034 (Fax)

HOME PAGE: http://www.docente.unicas.it/sergio_bianchi

Alexandre Pantanella

University of Cassino ( email )

Via S. Angelo, Loc. Folcara
Cassino, Frosinone 03043
Italy

Anna Maria Palazzo

University of Cassino ( email )

Via S. Angelo, Loc. Folcara
Cassino, Frosinone 03043
Italy

Augusto Pianese

University of Cassino ( email )

Via S. Angelo, Loc. Folcara
Cassino, Frosinone 03043
Italy

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