Analysis of fractional Gaussian noises using level crossing method

M. Vahabi, G. R. Jafari and M. Sadegh Movahed

Papers from arXiv.org

Abstract: The 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

Date: 2011-12
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Published in J. Stat. Mech. (2011) P11021

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