Probability flux as a method for detecting scaling

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Paper on probability flux as a method for detecting scaling.

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19 p.

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Ignaccolo, Massimiliano; Grigolini, Paolo & West, Bruce J. April 5, 2010.

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Paper on probability flux as a method for detecting scaling.

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19 p.

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Abstract: We introduce a new method for detecting scaling in time series. The method uses the properties of the probability flux for stochastic self-affine processes and is called the 'probability flux analysis' (PFA). The advantages of this method are: 1) it is independent of the finiteness of the moments of the self-affine process; 2) it does not require a binning procedure for numerical evaluation of the probability density function. These properties make the method particularly efficient for heavy tailed distributions in which the variance is not finite, for example, in Lévy α-stable processes. This utility is established using a comparison with the 'diffusion entropy' (DE) method.

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  • arXiv: 1004.0372

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  • April 5, 2010

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  • Jan. 16, 2013, 12:47 p.m.

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  • April 1, 2014, 3:23 p.m.

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Ignaccolo, Massimiliano; Grigolini, Paolo & West, Bruce J. Probability flux as a method for detecting scaling, paper, April 5, 2010; (digital.library.unt.edu/ark:/67531/metadc132978/: accessed June 25, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; crediting UNT College of Arts and Sciences.