Full text
Preview |
PDF
- Requires a PDF viewer, such as GSview, Xpdf or Adobe Acrobat Reader
Download (234kB) | Preview |
On ergodic least-squares estimators of the generalized diffusion coefficient for fractional Brownian motion
Citation
Boyer, Denis and Dean, David S. and Mejia-Monasterio, Carlos and Oshanin, Gleb (2013). On ergodic least-squares estimators of the generalized diffusion coefficient for fractional Brownian motion. "Physical Review e" (n. 87); pp. 1-4. ISSN 1539-3755. https://doi.org/10.1103/PhysRevE.87.030103.
Description
| Title: | On ergodic least-squares estimators of the generalized diffusion coefficient for fractional Brownian motion |
|---|---|
| Author/s: |
|
| Item Type: | Article |
| Título de Revista/Publicación: | Physical Review e |
| Date: | January 2013 |
| ISSN: | 1539-3755 |
| Subjects: | |
| Faculty: | E.T.S.I. Agrónomos (UPM) [antigua denominación] |
| Department: | Ingeniería Rural [hasta 2014] |
| Creative Commons Licenses: | Recognition - No derivative works - Non commercial |
Abstract
We analyse a class of estimators of the generalized diffusion coefficient for fractional Brownian motion Bt of known Hurst index H, based on weighted functionals of the single time square displacement. We show that for a certain choice of the weight function these functionals possess an ergodic property and thus provide the true, ensemble-averaged, generalized diffusion coefficient to any necessary precision from a single trajectory data, but at expense of a progressively higher experimental resolution. Convergence is fastest around H ? 0.30, a value in the subdiffusive regime.
More information
| Item ID: | 29439 |
|---|---|
| DC Identifier: | https://oa.upm.es/29439/ |
| OAI Identifier: | oai:oa.upm.es:29439 |
| DOI: | 10.1103/PhysRevE.87.030103 |
| Official URL: | http://journals.aps.org/pre/abstract/10.1103/PhysR... |
| Deposited by: | Memoria Investigacion |
| Deposited on: | 12 Jun 2014 17:20 |
| Last Modified: | 17 Dec 2018 06:59 |
