An innovative parameter estimation for fractional-order systems in the presence of outliers
Sign Up to like & getrecommendations! Published in 2017 at "Nonlinear Dynamics"
DOI: 10.1007/s11071-017-3464-7
Abstract: This paper investigates the problem of parameter estimation for fractional-order linear systems when output signal is polluted by noise and outliers. Different from conventional filtering and semi-definite programming methods, the outliers detection problem is formulated… read more here.
Keywords: estimation fractional; parameter estimation; fractional order; estimation ... See more keywords
Hurst exponent estimation of fractional surfaces for mammogram images analysis
Sign Up to like & getrecommendations! Published in 2022 at "Physica A: Statistical Mechanics and its Applications"
DOI: 10.1016/j.physa.2021.126424
Abstract: Abstract The work presents a methodology to precise simulation and parameter estimation of multidimensional fractional Brownian motion (fBm). The simulation approach uses circulant embedding algorithm and solution of Poisson equation, while generalizing it to multiple… read more here.
Keywords: methodology; estimation; fractional surfaces; estimation fractional ... See more keywords
Volatility estimation in fractional Ornstein-Uhlenbeck models
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DOI: 10.1080/15326349.2019.1692668
Abstract: Abstract In this article, we study the asymptotic behavior of the realized quadratic variation of a process where u is a β-Hölder continuous process with and where and BH is a fractional Brownian motion with… read more here.
Keywords: models volatility; volatility; estimation fractional; volatility estimation ... See more keywords