Is there a statistical test to test whether a time series behaves like a Brownian motion? Announcing the arrival of Valued Associate #679: Cesar Manara Planned maintenance scheduled April 23, 2019 at 00:00UTC (8:00pm US/Eastern)Time scaling of Brownian motionExistence of local time of Brownian motionBrownian motion exit timeBrownian motion first hitting time negative barrierBrownian motion: exit time from symmetric stripBound for the Brownian motion exit timeReduced chi-sqaure and confidence intervalFirst passage time of Brownian motionTime reversibility of Brownian motionHow to find the probability of a 'mean shift' in a random process?
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Is there a statistical test to test whether a time series behaves like a Brownian motion?
Announcing the arrival of Valued Associate #679: Cesar Manara
Planned maintenance scheduled April 23, 2019 at 00:00UTC (8:00pm US/Eastern)Time scaling of Brownian motionExistence of local time of Brownian motionBrownian motion exit timeBrownian motion first hitting time negative barrierBrownian motion: exit time from symmetric stripBound for the Brownian motion exit timeReduced chi-sqaure and confidence intervalFirst passage time of Brownian motionTime reversibility of Brownian motionHow to find the probability of a 'mean shift' in a random process?
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The observed data that I am dealing with is pictured above. It is generated by some mathematical algorithm (simulations) described in section 4.1.(c) in my article, here (data available in spreadsheet in my article.) I could not find any statistical test in the literature, except this one by Grzegorz Sikora (not yet published).
probability statistics stochastic-processes random-variables brownian-motion
asked Mar 27 at 16:45
Vincent GranvilleVincent Granville
798
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add a comment |
$begingroup$
The observed data that I am dealing with is pictured above. It is generated by some mathematical algorithm (simulations) described in section 4.1.(c) in my article, here (data available in spreadsheet in my article.) I could not find any statistical test in the literature, except this one by Grzegorz Sikora (not yet published).
probability statistics stochastic-processes random-variables brownian-motion
asked Mar 27 at 16:45
Vincent GranvilleVincent Granville
798
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$begingroup$
I asked the question on Quora, and got an interesting answer. Here is the link to the answer.
$endgroup$
– Vincent Granville
Mar 29 at 15:19
add a comment |
$begingroup$
The observed data that I am dealing with is pictured above. It is generated by some mathematical algorithm (simulations) described in section 4.1.(c) in my article, here (data available in spreadsheet in my article.) I could not find any statistical test in the literature, except this one by Grzegorz Sikora (not yet published).
probability statistics stochastic-processes random-variables brownian-motion
asked Mar 27 at 16:45
Vincent GranvilleVincent Granville
798
$endgroup$
The observed data that I am dealing with is pictured above. It is generated by some mathematical algorithm (simulations) described in section 4.1.(c) in my article, here (data available in spreadsheet in my article.) I could not find any statistical test in the literature, except this one by Grzegorz Sikora (not yet published).
probability statistics stochastic-processes random-variables brownian-motion
probability statistics stochastic-processes random-variables brownian-motion
asked Mar 27 at 16:45
Vincent GranvilleVincent Granville
798
asked Mar 27 at 16:45
Vincent GranvilleVincent Granville
798
asked Mar 27 at 16:45
Vincent GranvilleVincent Granville
798
asked Mar 27 at 16:45
Vincent GranvilleVincent Granville
798
asked Mar 27 at 16:45
Vincent GranvilleVincent Granville
798
798
$begingroup$
I asked the question on Quora, and got an interesting answer. Here is the link to the answer.
$endgroup$
– Vincent Granville
Mar 29 at 15:19
add a comment |
$begingroup$
I asked the question on Quora, and got an interesting answer. Here is the link to the answer.
$endgroup$
– Vincent Granville
Mar 29 at 15:19
$begingroup$
I asked the question on Quora, and got an interesting answer. Here is the link to the answer.
$endgroup$
– Vincent Granville
Mar 29 at 15:19
$begingroup$
I asked the question on Quora, and got an interesting answer. Here is the link to the answer.
$endgroup$
– Vincent Granville
Mar 29 at 15:19
add a comment |
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$begingroup$
I asked the question on Quora, and got an interesting answer. Here is the link to the answer.
$endgroup$
– Vincent Granville
Mar 29 at 15:19