Ergodic least-squares estimators of the generalize diffusion coefficient for fractional Brownian motion
MEJIA-MONASTERIO, Carlos
Laboratory of Physical Properties
Department of Mathematics and Statistics [Helsinki]
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Laboratory of Physical Properties
Department of Mathematics and Statistics [Helsinki]
MEJIA-MONASTERIO, Carlos
Laboratory of Physical Properties
Department of Mathematics and Statistics [Helsinki]
< Reduce
Laboratory of Physical Properties
Department of Mathematics and Statistics [Helsinki]
Language
en
Article de revue
This item was published in
Physical Review E : Statistical, Nonlinear, and Soft Matter Physics. 2013, vol. 87, n° 3, p. 030103
American Physical Society
English Abstract
We analyze a class of estimators of the generalized diffusion coefficient for fractional Brownian motion Bt of known Hurst index H, based on weighted functionals of the single-time square displacement. We show that for a ...Read more >
We analyze a class of estimators of the generalized diffusion coefficient for fractional Brownian motion Bt of known Hurst index H, based on weighted functionals of the single-time square displacement. We show that for a certain choice of the weight function these functionals possess an ergodic property and thus provide the true ensemble-average generalized diffusion coefficient to any necessary precision from single-trajectory data, but at the expense of a progressively higher experimental resolution. Convergence is fastest around H≃0.30, a value in the subdiffusive regime.Read less <
English Keywords
Probability theory
stochastic processes and statistics
Stochastic analysis methods
Single molecule kinetics
Single-molecule techniques
Origin
Hal imported