Analysis of the properties of ordinary levy motion based on the estimation of stability index

Kirichenko, L.; Shergin, V.

Публікація:
Analysis of the properties of ordinary levy motion based on the estimation of stability index

dc.contributor.author	Kirichenko, L.
dc.contributor.author	Shergin, V.
dc.date.accessioned	2016-09-06T09:41:35Z
dc.date.available	2016-09-06T09:41:35Z
dc.date.issued	2014
dc.description.abstract	The work proposes a method for estimating the stability index of alpha-stable distributions by using moments of fractional order. Provided numerical modeling has fully justified all of the results. Comparative analysis of the efficiency among the proposed method of estimating the stability index and widely used methods was performed. Proposal method is much simpler, far more faster and substantially less memory required. Estimation of generalized Hurst exponent from time series of the ordinary Lévy process was performed. Multifractal fluctuation analysis method and evaluation based on stability index estimation were compared. The results of numerical modelling showed that proposed method for estimating the fractal properties of the ordinary Lévy process, based on stability index estimation via fractional order moments is a much more accurate.	uk_UA
dc.identifier.citation	Kirichenko L., Shergin V. Analysis of the properties of ordinary levy motion based on the estimation of stability index // Information Content and Processing, International Journal. 2014. – Vol. 1. № 2. P. 170-181.	uk_UA
dc.identifier.uri	http://openarchive.nure.ua/handle/document/2139
dc.language.iso	en	uk_UA
dc.publisher	Sofia : ITHEA	uk_UA
dc.subject	alpha-stable variables	uk_UA
dc.subject	stability index estimation	uk_UA
dc.subject	fractional order moments	uk_UA
dc.subject	multifractal stochastic processes	uk_UA
dc.subject	Hurst exponent	uk_UA
dc.subject	generalized Hurst exponent	uk_UA
dc.subject	ordinary Levy motion	uk_UA
dc.title	Analysis of the properties of ordinary levy motion based on the estimation of stability index	uk_UA
dc.type	Article	uk_UA
dspace.entity.type	Publication