Revista internacional de inteligencia de enjambre y computación evolutiva

Abstracto

The Model of Real Data Constructing Using Fractional Brownian Motion

Valeria Bondarenko and Victor Bondarenko

In this paper we investigate the properties of the fractional Brownian motion as a basic process of stochastic time series models. New method of estimating the Hurst exponent is substantiated. Stochastic model, which is representing a time series analysis in the form of increments converted to fractional Brownian motion. The method of checking the adequacy of the proposed models. The research results are implemented in software for the simulation and analysis temporal data.