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Paper   IPM / Astronomy / 12953
School of Astronomy
  Title:   Analysis of fractional Gaussian noises using level crossing method
1.  M. Vahabi
2.  G.R. Jafari
3.  M. Sadegh Movahed
  Status:   Published
  Journal: J. Stat. Mech.
  Year:  2012
  Pages:   12
  Supported by:  IPM
The so-called level crossing analysis has been used to investigate the empirical data set. But there is a lack of interpretation for what is reflected by the level crossing results. The fractional Gaussian noise as a well-defined stochastic series could be a suitable benchmark to make the level crossing findings more sense. In this article, we calculated the average frequency of upcrossing for a wide range of fractional Gaussian noises from logarithmic (zero Hurst exponent, H=0), to Gaussian, H=1, (0 < H < 1). By introducing the relative change of the total numbers of upcrossings for original data with respect to so-called shuffled one, R, an empirical function for the Hurst exponent versus R has been established. Finally to make the concept more obvious, we applied this approach to some financial series

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