{"title":"远程依赖分数过程中自相似的Kolmogorov-Smirnov估计","authors":"Daniele Angelini, Sergio Bianchi","doi":"10.1016/j.physd.2025.134697","DOIUrl":null,"url":null,"abstract":"<div><div>This paper investigates the estimation of the self-similarity parameter in fractional processes. We re-examine the Kolmogorov–Smirnov (KS) test as a distribution-based method for assessing self-similarity, emphasizing its robustness and independence from specific probability distributions. Despite these advantages, the KS test encounters significant challenges when applied to fractional processes, primarily due to intrinsic data dependencies that induce both intradependent and interdependent effects. To address these limitations, we propose a novel method based on random permutation theory, which effectively removes autocorrelations while preserving the self-similarity structure of the process. Simulation results validate the robustness of the proposed approach, demonstrating its effectiveness in providing reliable estimation in the presence of strong dependencies. These findings establish a statistically rigorous framework for self-similarity analysis in fractional processes, with potential applications across various scientific domains.</div></div>","PeriodicalId":20050,"journal":{"name":"Physica D: Nonlinear Phenomena","volume":"476 ","pages":"Article 134697"},"PeriodicalIF":2.7000,"publicationDate":"2025-04-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Kolmogorov–Smirnov estimation of self-similarity in long-range dependent fractional processes\",\"authors\":\"Daniele Angelini, Sergio Bianchi\",\"doi\":\"10.1016/j.physd.2025.134697\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>This paper investigates the estimation of the self-similarity parameter in fractional processes. We re-examine the Kolmogorov–Smirnov (KS) test as a distribution-based method for assessing self-similarity, emphasizing its robustness and independence from specific probability distributions. Despite these advantages, the KS test encounters significant challenges when applied to fractional processes, primarily due to intrinsic data dependencies that induce both intradependent and interdependent effects. To address these limitations, we propose a novel method based on random permutation theory, which effectively removes autocorrelations while preserving the self-similarity structure of the process. Simulation results validate the robustness of the proposed approach, demonstrating its effectiveness in providing reliable estimation in the presence of strong dependencies. These findings establish a statistically rigorous framework for self-similarity analysis in fractional processes, with potential applications across various scientific domains.</div></div>\",\"PeriodicalId\":20050,\"journal\":{\"name\":\"Physica D: Nonlinear Phenomena\",\"volume\":\"476 \",\"pages\":\"Article 134697\"},\"PeriodicalIF\":2.7000,\"publicationDate\":\"2025-04-25\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Physica D: Nonlinear Phenomena\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0167278925001745\",\"RegionNum\":3,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"MATHEMATICS, APPLIED\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Physica D: Nonlinear Phenomena","FirstCategoryId":"100","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0167278925001745","RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"MATHEMATICS, APPLIED","Score":null,"Total":0}
Kolmogorov–Smirnov estimation of self-similarity in long-range dependent fractional processes
This paper investigates the estimation of the self-similarity parameter in fractional processes. We re-examine the Kolmogorov–Smirnov (KS) test as a distribution-based method for assessing self-similarity, emphasizing its robustness and independence from specific probability distributions. Despite these advantages, the KS test encounters significant challenges when applied to fractional processes, primarily due to intrinsic data dependencies that induce both intradependent and interdependent effects. To address these limitations, we propose a novel method based on random permutation theory, which effectively removes autocorrelations while preserving the self-similarity structure of the process. Simulation results validate the robustness of the proposed approach, demonstrating its effectiveness in providing reliable estimation in the presence of strong dependencies. These findings establish a statistically rigorous framework for self-similarity analysis in fractional processes, with potential applications across various scientific domains.
期刊介绍:
Physica D (Nonlinear Phenomena) publishes research and review articles reporting on experimental and theoretical works, techniques and ideas that advance the understanding of nonlinear phenomena. Topics encompass wave motion in physical, chemical and biological systems; physical or biological phenomena governed by nonlinear field equations, including hydrodynamics and turbulence; pattern formation and cooperative phenomena; instability, bifurcations, chaos, and space-time disorder; integrable/Hamiltonian systems; asymptotic analysis and, more generally, mathematical methods for nonlinear systems.