An entropy-based estimator of the Hurst exponent in fractional Brownian motion

Author(s):  
Narges Zeinali ◽  
Ahmad Pourdarvish
2003 ◽  
Vol 14 (03) ◽  
pp. 351-365 ◽  
Author(s):  
PH. BRONLET ◽  
M. AUSLOOS

We have translated fractional Brownian motion (FBM) signals into a text based on two "letters", as if the signal fluctuations correspond to a constant stepsize random walk. We have applied the Zipf method to extract the ζ′ exponent relating the word frequency and its rank on a log–log plot. We have studied the variation of the Zipf exponent(s) giving the relationship between the frequency of occurrence of words of length m < 8 made of such two letters: ζ′ is varying as a power law in terms of m. We have also searched how the ζ′ exponent of the Zipf law is influenced by a linear trend and the resulting effect of its slope. We can distinguish finite size effects, and results depending whether the starting FBM is persistent or not, i.e., depending on the FBM Hurst exponent H. It seems then numerically proven that the Zipf exponent of a persistent signal is more influenced by the trend than that of an antipersistent signal. It appears that the conjectured law ζ′ = |2H - 1| only holds near H = 0.5. We have also introduced considerations based on the notion of a time dependent Zipf law along the signal.


2015 ◽  
Vol 2 (4) ◽  
pp. 969-987
Author(s):  
C. M. Hall

Abstract. Cosmic noise at 40 MHz is measured at Ny-Ålesund (79° N, 12° E) using a relative ionospheric opacity meter ("riometer"). A riometer is normally used to determine the degree to which cosmic noise is absorbed by the intervening ionosphere, giving an indication of ionization of the atmosphere at altitudes lower than generally monitored by other instruments. The usual course is to determine a "quiet-day" variation, this representing the galactic noise signal itself in the absence of absorption; the current signal is then subtracted from this to arrive at absorption expressed in dB. By a variety of means and assumptions, it is thereafter possible to estimate electron density profiles in the very lowest reaches of the ionosphere. Here however, the entire signal, i.e. including the cosmic noise itself will be examined and spectral characteristics identified. It will be seen that distinct spectral subranges are evident which can, in turn be identified with non-Gaussian processes characterized by generalized Hurst exponents, α. Considering all periods greater than 1 h, α &amp;approx; 1.24 – an indication of fractional Brownian motion, whereas for periods greater than 1 day α &amp;approx; 0.9 – approximately pink noise and just in the domain of fractional Gaussian noise. The results are compared with other physical processes suggesting that absorption of cosmic noise is characterized by a generalized Hurst exponent &amp;approx; 1.24 and thus non-persistent fractional Brownian motion, whereas generation of cosmic noise is characterized by a generalized Hurst exponent &amp;approx; 1.


Author(s):  
Viktor Bondarenko

Fractional Brownian motion as a method for estimating the parameters of a stochastic process by variance and one-step increment covariance is proposed and substantiated. The root-mean-square consistency of the constructed estimates has been proven. The obtained results complement and generalize the consequences of limit theorems for fractional Brownian motion, that have been proved in the number of articles. The necessity to estimate the variance is caused by the absence of a base unit of time and the estimation of the covariance allows one to determine the Hurst exponent. The established results let the known limit theorems to be used to construct goodness-of-fit criteria for the hypothesis “the observed time series is a transformation of fractional Brownian motion” and to estimate the error of optimal forecasting for time series.


2013 ◽  
Vol 444-445 ◽  
pp. 698-702
Author(s):  
Xu Yi Hu ◽  
Li Wan ◽  
Dan Ying Xie

Approximate entropy is a widely used technique to measure system complexity or regularity. In this paper, the effects of noise on the approximate entropy of fractional Brownian motion were investigated by some factors including the value of Hurst exponent, different noise type and coefficients. The results show that the values of approximate entropy of fractional Brownian motion decrease with the increase of Hurst exponent. The values increase in different degree after adding white noise in the sequence of fractional Brownian motion, and tend to be stable with the data lengthened. Meanwhile, the values of approximate entropy of mixed sequence change obviously by adding Poisson noise, while multiplying the coefficients of Poisson noise, the effects on the approximate entropy become greater.


Author(s):  
A. I. Chukwunezu ◽  
B. O. Osu ◽  
C. Olunkwa ◽  
C. N. Obi

The classical Black-Scholes equation driven by Brownian motion has no memory, therefore it is proper to replace the Brownian motion with fractional Brownian motion (FBM) which has long-memory due to the presence of the Hurst exponent. In this paper, the option pricing equation modeled by fractional Brownian motion is obtained. It is further reduced to a one-dimensional heat equation using Fourier transform and then a solution is obtained by applying the convolution theorem.


2014 ◽  
Vol 1 (1) ◽  
pp. 895-915
Author(s):  
C. M. Hall

Abstract. Solar disturbances, depending on the orientation of the interplanetary magnetic field, typically result in perturbations of the geomagnetic field as observed by magnetometers on the ground. Here, the geomagnetic field's horizontal component, as measured by the ground-based observatory-standard magnetometer at Tromsø (70° N, 19° E) is examined for signatures of complexity. 25 year-long 10 s resolution datasets are analysed, but for fluctuations with timescales less than 1 day. Quantile-quantile (Q-Q) plots are employed first, revealing the fluctuations are better represented by Cauchy rather than Gaussian distributions. Thereafter, both spectral density and detrended fluctuation analysis methods are used to estimate values of the generalized Hurst exponent, α. The results are then compared with independent findings. Inspection and comparison of the spectral and detrended fluctuation analyses reveals that timescales between 1 h and 1 d are characterized by fractional Brownian motion with a generalized Hurst exponent of ~1.4 whereas including timescales as short as 1 min suggests fractional Brownian motion with a generalized Hurst exponent of ~1.6. This is consistent with changes in the position of the auroral electrojet that can be considered rapid during the course of an evening, whereas from minute-to-minute the electrojet moves more persistently in geomagnetic latitude.


2016 ◽  
Vol 23 (4) ◽  
pp. 215-222
Author(s):  
Chris M. Hall

Abstract. Cosmic noise at 40 MHz is measured at Ny-Ålesund (79° N, 12° E) using a relative ionospheric opacity meter ("riometer"). A riometer is normally used to determine the degree to which cosmic noise is absorbed by the intervening ionosphere, giving an indication of ionisation of the atmosphere at altitudes lower than generally monitored by other instruments. The usual course is to determine a "quiet-day" variation, this representing the galactic noise signal itself in the absence of absorption; the current signal is then subtracted from this to arrive at absorption expressed in decibels (dB). By a variety of means and assumptions, it is thereafter possible to estimate electron density profiles in the very lowest reaches of the ionosphere. Here however, the entire signal, i.e. including the cosmic noise itself, will be examined and spectral characteristics identified. It will be seen that distinct spectral subranges are evident which can, in turn, be identified with non-Gaussian processes characterised by generalised Hurst exponents, α. Considering all periods greater than 1 h, α ≈ 24, an indication of fractional Brownian motion, whereas for periods greater than 1 day α ≈ 0.9 – approximately pink noise and just in the domain of fractional Gaussian noise. The results are compared with other physical processes, suggesting that absorption of cosmic noise is characterised by a generalised Hurst exponent  ≈ 1.24 and thus non-persistent fractional Brownian motion, whereas generation of cosmic noise is characterised by a generalised Hurst exponent  ≈ 1. The technique unfortunately did not result in clear physical understanding of the ionospheric phenomena, and thus, in this respect, the application was not successful; the analysis could, however, be used as a tool for instrument validation.


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