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arXiv · 1910.14018

Analytical representation of Gaussian processes in the $\mathcal{A}-\mathcal{T}$ plane

Mariusz Tarnopolski
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Abstract

Closed-form expressions, parametrized by the Hurst exponent $H$ and the length $n$ of a time series, are derived for paths of fractional Brownian motion (fBm) and fractional Gaussian noise (fGn) in the $\mathcal{A}-\mathcal{T}$ plane, composed of the fraction of turning points $\mathcal{T}$ and the Abbe value $\mathcal{A}$. The exact formula for $\mathcal{A}_{\rm fBm}$ is expressed via Riemann $\zeta$ and Hurwitz $\zeta$ functions. A very accurate approximation, yielding a simple exponential form, is obtained. Finite-size effects, introduced by the deviation of fGn's variance from unity, and asymptotic cases are discussed. Expressions for $\mathcal{T}$ for fBm, fGn, and differentiated fGn are also presented. The same methodology, valid for any Gaussian process, is applied to autoregressive moving average processes, for which regions of availability of the $\mathcal{A}-\mathcal{T}$ plane are derived and given in analytic form. Locations in the $\mathcal{A}-\mathcal{T}$ plane of some real-world examples as well as generated data are discussed for illustration.

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Mariusz Tarnopolski. 2019-10-30. Analytical representation of Gaussian processes in the $\mathcal{A}-\mathcal{T}$ plane. https://doi.org/10.1103/physreve.100.062144

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