Yayın: Principal Component Analysis of the Fractional Brownian Motion for 0 < H < 0.5
| dc.contributor.author | Özkurt, Tolga Esat | |
| dc.contributor.author | Akgül, Tayfun | |
| dc.contributor.author | Baykut, Süleyman | |
| dc.contributor.ituauthor | Akgül, Tayfun | |
| dc.date.accessioned | 2026-01-24T18:29:48Z | |
| dc.date.issued | 2006-08-03 | |
| dc.description.abstract | Principal component analysis (PCA) has been proposed for the estimation of the self-similarity parameter H, namely the Hurst parameter of 1/f processes, and an analytical proof is provided only for H=0.5 in a recent study [1]. In our paper, we extend this study by deriving explicit expressions and presenting an analytical proof for the range of 0 < H < 0.5 (the anti-persistent part of the fractional Brownian motion). We also show via simulations that the accuracy of the estimated H values may decrease considerably as the theoretical H value increases towards the persistent part (0.5 < H < 1). | |
| dc.description.uri | https://doi.org/10.1109/icassp.2006.1660697 | |
| dc.description.uri | https://doi.org/10.1109/ICASSP.2006.1660697 | |
| dc.description.uri | https://dx.doi.org/10.1109/icassp.2006.1660697 | |
| dc.identifier.doi | 10.1109/icassp.2006.1660697 | |
| dc.identifier.endpage | 488 | |
| dc.identifier.openaire | doi_dedup___::23fe439a1ac8001d4a7171acb7afdd1a | |
| dc.identifier.orcid | 0000-0002-5164-5736 | |
| dc.identifier.startpage | III | |
| dc.identifier.uri | https://hdl.handle.net/11527/37531 | |
| dc.identifier.volume | 3 | |
| dc.publisher | IEEE | |
| dc.relation.ispartof | 2006 IEEE International Conference on Acoustics Speed and Signal Processing Proceedings | |
| dc.title | Principal Component Analysis of the Fractional Brownian Motion for 0 < H < 0.5 | |
| dc.type | Article | |
| dspace.entity.type | Publication | |
| person.identifier.orcid | 0000-0002-5164-5736 |