Minimal model of diffusion with time changing Hurst exponent [PDF]
Journal of Physics A: Mathematical and Theoretical, 2023 We introduce the stochastic process of incremental multifractional Brownian motion (IMFBM), which locally behaves like fractional Brownian motion with a given local Hurst exponent and diffusivity.
Jakub Ślęzak, R. Metzler
semanticscholar +1 more source
Fractional Brownian motion with random Hurst exponent: Accelerating diffusion and persistence transitions. [PDF]
Chaos, 2022 Fractional Brownian motion, a Gaussian non-Markovian self-similar process with stationary long-correlated increments, has been identified to give rise to the anomalous diffusion behavior in a great variety of physical systems.
Michał Balcerek +4 more
semanticscholar +1 more source
Temporal Lobe Epilepsy Perturbs the Brain-Wide Excitation-Inhibition Balance: Associations with Microcircuit Organization, Clinical Parameters, and Cognitive Dysfunction. [PDF]
Adv Sci (Weinh)Excitation‐inhibition (E/I) imbalance is theorized as a key mechanism in the pathophysiology of epilepsy, with ample research focusing on elucidating its cellular manifestations.
Xie K +17 more
europepmc +2 more sources
Clustering Arid Rangelands Based on NDVI Annual Patterns and Their Persistence
Remote Sensing, 2022 Rangeland ecosystems comprise more than a third of the global land surface, sustaining essential ecosystem services and livelihoods. In Spain, Southeast Spain includes some of the driest regions; accordingly, rangelands from Murcia and Almeria provinces ...
Ernesto Sanz +6 more
doaj +1 more source
Hurst Exponent Analysis: Evidence from Volatility Indices and the Volatility of Volatility Indices
Journal of Risk and Financial Management, 2023 In this study, we analyze the volatility of volatility indices and estimate the Hurst parameter using data from five international markets. For our analysis, we consider daily data from VIX (CBOE), VXN (CBOE Nasdaq 100), VXD (DJIA), VHSI (HSI), and ...
Georgia Zournatzidou, Christos Floros
semanticscholar +1 more source
Preliminaries on the Accurate Estimation of the Hurst Exponent Using Time Series [PDF]
IEEE International Conference on Automatica, 2021 This article explores the required amount of time series points from a high-speed computer network to accurately estimate the Hurst exponent. The methodology consists in designing an experiment using estimators that are applied to time series addresses ...
Ginno Millán +2 more
semanticscholar +1 more source
R/S method application in neurological speech disorders analyses [PDF]
Компьютерные исследования и моделирование, 2014 Based on modified rescaled range scale computation algorithm, the technique of Hurst exponent and its characteristic time estimation is proposed. The approach of increase the accuracy and simplification automatic Hurst exponent calculation is developed ...
Nikolay Petrovich Kuzenkov +1 more
doaj +1 more source
Scaling Exponents of Time Series Data: A Machine Learning Approach
Entropy, 2023 In this study, we present a novel approach to estimating the Hurst exponent of time series data using a variety of machine learning algorithms. The Hurst exponent is a crucial parameter in characterizing long-range dependence in time series, and ...
Sebastian Raubitzek +3 more
doaj +1 more source
Hurst exponents for short time series [PDF]
Physical Review E, 2011 6 pages, 4 ...
Jingzhao Qi, Huijie Yang
openaire +3 more sources
Characterization of turbulence stability through the identification of multifractional Brownian motions [PDF]
Nonlinear Processes in Geophysics, 2013 Multifractional Brownian motions have become popular as flexible models in describing real-life signals of high-frequency features in geoscience, microeconomics, and turbulence, to name a few.
K. C. Lee
doaj +1 more source