Fractional Brownian motion approximation based on fractional integration of a white noise

Content Provider	Semantic Scholar
Author	Chechkin, Aleksei V. Gonchar, Vsevolod Yu.
Copyright Year	1999
Abstract	Abstract We study simple approximations to fractional Gaussian noise and fractional Brownian motion. The approximations are based on spectral properties of the noise. They allow one to consider the noise as the result of fractional integration/differentiation of a white Gaussian noise. We consider correlation properties of the approximation to fractional Gaussian noise and point to the peculiarities of persistent and anti-persistent behaviors. We also investigate self-similarity properties of the approximation to fractional Brownian motion, namely, ` τ H laws' for the structure function and the range. We conclude that the models proposed serve as a convenient tool for modelling of natural processes and testing and improvement of methods aimed at analysis and interpretation of experimental data.
Starting Page	391
Ending Page	398
Page Count	8
File Format	PDF HTM / HTML
DOI	10.1016/S0960-0779(99)00183-6
Volume Number	12
Alternate Webpage(s)	https://arxiv.org/pdf/cond-mat/9902209v1.pdf
Alternate Webpage(s)	http://arxiv.org/pdf/cond-mat/9902209v1.pdf
Alternate Webpage(s)	https://doi.org/10.1016/S0960-0779%2899%2900183-6
Language	English
Access Restriction	Open
Content Type	Text
Resource Type	Article