• 3
  • 3
  • 82
  • 82
IPM
30
YEARS OLD

“School of Astronomy”

Paper   IPM / Astronomy / 12953
   School of Astronomy
  Title: Analysis of fractional Gaussian noises using level crossing method
  Author(s):
1 . M. Vahabi
2 . G.R. Jafari
3 . M. Sadegh Movahed
  Status: Published
  Journal: J. Stat. Mech.
  Year: 2012
  Pages: 12
  Supported by: IPM
  Abstract:
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

Download TeX format
back to top
Clients Logo
Clients Logo
Clients Logo
Clients Logo
Clients Logo
Clients Logo
Clients Logo
Clients Logo
scroll left or right