4 papers
Fractional Brownian Motion: Local Modulus of Continuity with Refined Almost Sure Upper Bound and First Exit Time from One-sided Barrier
Qidi Peng, Nan Rao
Based on an optimal rate wavelet series representation, we derive a local modulus of continuity result with a refined almost sure upper bound for fractional Brownian motion. \slopp…
Some Developments in Clustering Analysis on Stochastic Processes
Qidi Peng, Nan Rao, Ran Zhao
We review some developments on clustering stochastic processes and come with the conclusion that asymptotically consistent clustering algorithms can be obtained when the processes…
Cluster Analysis on Locally Asymptotically Self-similar Processes with Known Number of Clusters
Qidi Peng, Nan Rao, Ran Zhao
We conduct cluster analysis on a class of locally asymptotically self-similar stochastic processes, which includes multifractional Brownian motion as a representative. When the tru…
Covariance-based Dissimilarity Measures Applied to Clustering Wide-sense Stationary Ergodic Processes
Qidi Peng, Nan Rao, Ran Zhao
We introduce a new unsupervised learning problem: clustering wide-sense stationary ergodic stochastic processes. A covariance-based dissimilarity measure together with asymptotical…