Testing of fractional Brownian motion in a noisy environment
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arXiv
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| Auteurs principaux: | , |
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| Format: | Preprint |
| Publié: |
2019
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| _version_ | 1866916315976957952 |
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| author | Balcerek, Michal Burnecki, Krzysztof |
| author_facet | Balcerek, Michal Burnecki, Krzysztof |
| contents | Fractional Brownian motion (FBM) is the only Gaussian self-similar process with stationary increments. Its increment process, called fractional Gaussian noise, is ergodic and exhibits a property of power-like decaying autocorrelation function (ACF) which leads to the notion of long memory. These properties have made FBM important in modelling real-world data recorded in different experiments ranging from biology to telecommunication. These experiments are often disturbed by a noise which source can be just the instrument error. In this paper we propose a rigorous statistical test based on the ACF for FBM with added white Gaussian noise. To this end we derive a distribution of the test statistic which is given explicitly by the generalized chi-squared distribution. This allows us to find critical regions for the test with a given significance level. We check the quality of the introduced test by studying its power and comparing with other tests existing in the literature. We also note that the introduced test procedure can be applied to an arbitrary Gaussian process. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_1912_07012 |
| institution | arXiv |
| publishDate | 2019 |
| record_format | arxiv |
| spellingShingle | Testing of fractional Brownian motion in a noisy environment Balcerek, Michal Burnecki, Krzysztof Statistics Theory Methodology Fractional Brownian motion (FBM) is the only Gaussian self-similar process with stationary increments. Its increment process, called fractional Gaussian noise, is ergodic and exhibits a property of power-like decaying autocorrelation function (ACF) which leads to the notion of long memory. These properties have made FBM important in modelling real-world data recorded in different experiments ranging from biology to telecommunication. These experiments are often disturbed by a noise which source can be just the instrument error. In this paper we propose a rigorous statistical test based on the ACF for FBM with added white Gaussian noise. To this end we derive a distribution of the test statistic which is given explicitly by the generalized chi-squared distribution. This allows us to find critical regions for the test with a given significance level. We check the quality of the introduced test by studying its power and comparing with other tests existing in the literature. We also note that the introduced test procedure can be applied to an arbitrary Gaussian process. |
| title | Testing of fractional Brownian motion in a noisy environment |
| topic | Statistics Theory Methodology |
| url | https://arxiv.org/abs/1912.07012 |