alexa The Power Approximation of Time Series with Using Fractional Brownian Motion
ISSN: 2168-9679

Journal of Applied & Computational Mathematics
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Research Article

The Power Approximation of Time Series with Using Fractional Brownian Motion

Bondarenko V*

Kyiv Polytechnic Institute, Institute of Applied System Analysis, Technical University of Ukraine, Ukraine

*Corresponding Author:
Valeria Bondarenko
Technical University of Ukraine
Kyiv Polytechnic Institute
Institute of Applied System Analysis
Ukraine
Tel: +213 33 31 91 34
E-mail: [email protected]

Received Date: April 18, 2017; Accepted Date: April 21, 2017; Published Date: April 30, 2017

Citation: Bondarenko V (2017) The Power Approximation of Time Series with Using Fractional Brownian Motion. J Appl Computat Math 6: 353. doi: 10.4172/2168-9679.1000353

Copyright: © 2017 Bondarenko V. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.

 

Abstract

We propose the approximating sequence and some of characteristics of this sequence to coincide with the increments of the fractional Brownian motion (fractional Browniannoise) for the observed time series. We study the Hurst parameter estimation algorithm and check the quality of the approximation.

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