Perturbative expansion for the maximum of fractional Brownian motion [PDF]
, 2016 Mathieu Delorme, Kay Jörg Wiese
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Monitoring panels of sparse functional data
Journal of Time Series Analysis, EarlyView.Panels of random functions are common in applications of functional data analysis. They often occur when sequences of functions are observed at a number of different locations. We propose a methodology to monitor for structural breaks in such panels and to identify the changing components with statistical certainty.
Tim Kutta +2 more
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Fractional Brownian motion analysis for epidemic spreading of diseases
, 2021 Lima L.
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Exponential stability for neutral stochastic functional partial differential equations driven by Brownian motion and fractional Brownian motion. [PDF]
J Inequal Appl, 2018 Zhang X, Ruan D.
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Wavelet Based Estimator For Fractional Brownian Motion: An Experimental Point Of View
, 2004 G. Jacquet, Rachid Harba
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Change Point Analysis for Functional Data Using Empirical Characteristic Functionals
Journal of Time Series Analysis, EarlyView.ABSTRACT We develop a new method to detect change points in the distribution of functional data based on integrated CUSUM processes of empirical characteristic functionals. Asymptotic results are presented under conditions allowing for low‐order moments and serial dependence in the data establishing the limiting null‐distribution of the proposed test ...
Lajos Horváth +2 more
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Analytical Solutions for Multi-Time Scale Fractional Stochastic Differential Equations Driven by Fractional Brownian Motion and Their Applications. [PDF]
Entropy (Basel), 2018 Ding XL, Nieto JJ.
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Surface Regularity via the Estimation of Fractional Brownian Motion Index
, 2020 Hamed Rabiei +3 more
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Adaptive Estimation for Weakly Dependent Functional Times Series
Journal of Time Series Analysis, EarlyView.ABSTRACT We propose adaptive mean and autocovariance function estimators for stationary functional time series under 𝕃p−m‐approximability assumptions. These estimators are designed to adapt to the regularity of the curves and to accommodate both sparse and dense data designs.
Hassan Maissoro +2 more
wiley +1 more source
On probability laws of solutions to differential systems driven by a fractional Brownian motion
, 2014 Fabrice Baudoin +3 more
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