Analysis of fractional Gaussian noises using level crossing method
AbstractThe so-called level crossing analysis has been used to investigate the empirical data set. But there is a lack of interpretation for what is reflected by the level crossing results. The fractional Gaussian noise as a well-defined stochastic series could be a suitable benchmark to make the level crossing findings more sense. In this article, we calculated the average frequency of upcrossing for a wide range of fractional Gaussian noises from logarithmic (zero Hurst exponent, H=0), to Gaussian, H=1, ($0
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number 1112.1502.
Date of creation: Dec 2011
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Publication status: Published in J. Stat. Mech. (2011) P11021
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Web page: http://arxiv.org/
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-12-13 (All new papers)
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- Li, Ming & Zhao, Wei, 2013. "On bandlimitedness and lag-limitedness of fractional Gaussian noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 1955-1961.
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