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Proceedings Paper

Data-driven differential equation modeling of fBm processes
Author(s): Holger M. Jaenisch; James W. Handley; Jeffery P. Faucheux
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Paper Abstract

This paper presents a unique method for modeling fractional Brownian motion type data sets with ordinary differential equations (ODE) and a unique fractal operator. To achieve such modeling, a new method is introduced using Turlington polynomials to obtain continuous and differentiable functions. These functions are then fractal interpolated to yield fine structure. Spectral decomposition is used to obtain a differential equation model which is then fractal interpolated to forecast a fBm trajectory. This paper presents an overview of the theory and our modeling approach along with example results.

Paper Details

Date Published: 5 January 2004
PDF: 13 pages
Proc. SPIE 5204, Signal and Data Processing of Small Targets 2003, (5 January 2004); doi: 10.1117/12.502479
Show Author Affiliations
Holger M. Jaenisch, Sparta, Inc. (United States)
James W. Handley, Sparta, Inc. (United States)
Jeffery P. Faucheux, Sparta, Inc. (United States)


Published in SPIE Proceedings Vol. 5204:
Signal and Data Processing of Small Targets 2003
Oliver E. Drummond, Editor(s)

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