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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);
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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