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Analysis of fractional Gaussian noises using level crossing method

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  • M. Vahabi
  • G. R. Jafari
  • M. Sadegh Movahed

Abstract

The so-called level crossing analysis has been used to investigate the empirical data set. But there is a lack of interpretation for what is reflected by the level crossing results. The fractional Gaussian noise as a well-defined stochastic series could be a suitable benchmark to make the level crossing findings more sense. In this article, we calculated the average frequency of upcrossing for a wide range of fractional Gaussian noises from logarithmic (zero Hurst exponent, H=0), to Gaussian, H=1, ($0

Suggested Citation

  • M. Vahabi & G. R. Jafari & M. Sadegh Movahed, 2011. "Analysis of fractional Gaussian noises using level crossing method," Papers 1112.1502, arXiv.org.
    • Handle: RePEc:arx:papers:1112.1502
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    File URL: http://arxiv.org/pdf/1112.1502
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    Cited by:

    1. Li, Ming & Zhao, Wei, 2013. "On bandlimitedness and lag-limitedness of fractional Gaussian noise," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(9), pages 1955-1961.

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