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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2008, Volume 11, Number 2, Pages 201–218 (Mi sjvm43)  
This article is cited in 17 scientific papers (total in 17 papers)

Comparative analysis of two numerical methods to measure Hausdorff dimension of the fractional Brownian motion

S. M. Prigarina, K. Hahnb, G. Winklerb

a Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
b Institute of Biomathematics and Biometry Helmholtz Zentrum München
Full-text PDF (791 kB) Citations (17)
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Abstract: The objective of the paper is to study by Monte Carlo simulation statistical properties of two numerical methods (the extended counting method and the variance counting method) developed to estimate the Hausdorff dimension of a time series and applied to the fractional Brownian motion.
Key words: fractal set, Hausdorff dimension, extended counting method, variance counting method, generalized Wiener process, fractional Brownian motion.
Received: 08.02.2007
English version:
Numerical Analysis and Applications, 2008, Volume 1, Issue 2, Pages 163–178
DOI: https://doi.org/10.1134/S1995423908020079
MSC: 28A80, 62M10, 65C05
Language: Russian
Citation: S. M. Prigarin, K. Hahn, G. Winkler, “Comparative analysis of two numerical methods to measure Hausdorff dimension of the fractional Brownian motion”, Sib. Zh. Vychisl. Mat., 11:2 (2008), 201–218; Num. Anal. Appl., 1:2 (2008), 163–178
Citation in format AMSBIB
\Bibitem{PriHahWin08}
\by S.~M.~Prigarin, K.~Hahn, G.~Winkler
\paper Comparative analysis of two numerical methods to measure Hausdorff dimension of the fractional Brownian motion
\jour Sib. Zh. Vychisl. Mat.
\yr 2008
\vol 11
\issue 2
\pages 201--218
\mathnet{http://mi.mathnet.ru/sjvm43}
\transl
\jour Num. Anal. Appl.
\yr 2008
\vol 1
\issue 2
\pages 163--178
\crossref{https://doi.org/10.1134/S1995423908020079}
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    • This publication is cited in the following 17 articles:
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