Forecasting of time data with using fractional Brownian motion

Valeria Bondarenko, Victor Bondarenko and Kyryl Truskovskyi

Chaos, Solitons & Fractals, 2017, vol. 97, issue C, 44-50

Abstract: We investigated the quality of forecasting of fractional Brownian motion, and new method for estimating of Hurst exponent is validated. Stochastic model of the time series in the form of converted fractional Brownian motion is proposed. The method of checking the adequacy of the proposed model is developed and short-term forecasting for temporary data is constructed. The research results are implemented in software tools for analysis and modeling of time series.

Keywords: Stochastic model; Optimal forecast; Fractional Brownian motion (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:97:y:2017:i:c:p:44-50

DOI: 10.1016/j.chaos.2017.01.013

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