A Statistical Method for Determining the Fractal Dimension of Time Series

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Mathematical Computation

Mathematical Computation is an international comprehensive professional academic journal of Ivy Publisher, concerning the development of mathematical theory and computing application on the combination of mathematical theory and modern industrial technology. The main focus of the journal is the academic papers and comments of latest theoretical and apolitical mathematics improvement in the fields of nature science, engineering technology, economy... [More] Mathematical Computation is an international comprehensive professional academic journal of Ivy Publisher, concerning the development of mathematical theory and computing application on the combination of mathematical theory and modern industrial technology. The main focus of the journal is the academic papers and comments of latest theoretical and apolitical mathematics improvement in the fields of nature science, engineering technology, economy and science, report of latest research result, aiming at providing a good communication platform to transfer, share and discuss the theoretical and technical development of mathematics theory development for professionals, scholars and researchers in this field, reflecting the academic front level, promote academic change and foster the rapid expansion of mathematics theory and application technology.

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ISSN Print:2327-0519

ISSN Online:2327-0527

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Paper Infomation

A Statistical Method for Determining the Fractal Dimension of Time Series

Full Text(PDF, 240KB)

Author: Xinmeng Wang, Junjie Bai, Haiyue Jin, Yicheng Hong

Abstract: In this paper, we present a new method for determining the fractal dimension of time series and the algorithm of H index (Hurst index).

Keywords: Time Series, Fractal Dimension, H Index, R/S Analysis Method

References:

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[3] Tommi,S., Fractional Brownian motion,random walks and binary market models,Finance Stochast,5,343-355,2001.

[4] Li Shui Gen, Wu Ji Tao, Fractal and Wavelet, Beijing, Science Press, 2002