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On the Behaviour of Weighted Permutation Entropy on Fractional Brownian Motion in the Univariate and Multivariate Setting.
Marisa Mohr
Florian Wilhelm
Ralf Möller
Published in:
FLAIRS Conference (2021)
Keyphrases
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fractional brownian motion
long range
non stationary
multivariate time series
fractal dimension
financial markets
long range dependence
random fields
stochastic differential equations
multivariate decision trees
probabilistic model
data mining
long term
distance measure
mathematical model
stock market