远程依赖分数过程中自相似的Kolmogorov-Smirnov估计

IF 2.7 3区 数学 Q1 MATHEMATICS, APPLIED
Daniele Angelini, Sergio Bianchi
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引用次数: 0

摘要

研究了分数阶过程中自相似参数的估计问题。我们重新检验了Kolmogorov-Smirnov (KS)检验作为一种基于分布的评估自相似性的方法,强调了它的稳健性和不依赖于特定概率分布的独立性。尽管有这些优势,但KS测试在应用于分数过程时遇到了重大挑战,主要是由于固有的数据依赖性,导致了相互依赖和相互依赖的影响。为了解决这些限制,我们提出了一种基于随机排列理论的新方法,该方法有效地消除了自相关性,同时保留了过程的自相似结构。仿真结果验证了所提方法的鲁棒性,证明了其在存在强依赖性的情况下提供可靠估计的有效性。这些发现为分数过程中的自相似性分析建立了一个严格的统计框架,具有跨各个科学领域的潜在应用。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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来源期刊
Physica D: Nonlinear Phenomena
Physica D: Nonlinear Phenomena 物理-物理:数学物理
CiteScore
7.30
自引率
7.50%
发文量
213
审稿时长
65 days
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.
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