Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.22/9869
Título: Self-Similar Property of Random Signals: Solution of Inverse Problem
Autor: Nigmatullin, Raoul R.
Machado, J. A. Tenreiro
Palavras-chave: Scaling equation
Self-similar properties of random signals
Inverse solution
Data: 2013
Relatório da Série N.º: Journal of Applied Nonlinear Dynamics;Vol.2, Issue 2
Resumo: Many random signals with clearly expressed trends can have selfsimilar properties. In order to see this self-similar property new presentation of signals is suggested. A novel algorithm for inverse solution of the scaling equation is developed. This original algorithm allows finding the scaling parameters, the corresponding power-law exponent and the unknown log-periodic function from the fitting procedure. The effectiveness of algorithm is tested in financial data revealing season fluctuations of annual, monthly and weekly prices. The general recommendations are given that allow the verification of this algorithm in general data series.
URI: http://hdl.handle.net/10400.22/9869
DOI: 10.5890/JAND.2013.04.003
ISSN: 2164−6457
Aparece nas colecções:ISEP - DEE - Artigos

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