Finite Iterative Forecasting Model Based on Fractional Generalized Pareto Motion

Finite Iterative Forecasting Model Based on Fractional Generalized Pareto Motion

In this paper, an efficient prediction model based on the fractional generalized Pareto motion (fGPm) with Long-Range Dependent (LRD) and infinite variance characteristics is proposed. Firstly, we discuss the meaning of each parameter of the generalized Pareto distribution (GPD), and the LRD charact...

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Bibliographic Details
Main Authors: Wanqing Song, Shouwu Duan, Dongdong Chen, Enrico Zio, Wenduan Yan, Fan Cai
Format: Article
Language:English
Published: MDPI AG 2022-08-01
Series:Fractal and Fractional
Subjects:
generalized Pareto distribution
fractional generalized Pareto motion
infinite variance
long-range dependence
finite iterative forecasting model
Online Access:https://www.mdpi.com/2504-3110/6/9/471

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https://www.mdpi.com/2504-3110/6/9/471

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