IS PCA RELIABLE FOR THE ANALYSIS OF FRACTIONAL BROWNIAN MOTION? (WedAmOR1)

Author(s) : Tolga Esat Özkurt (Istanbul Technical University, Turkey) Tayfun Akgül (Istanbul Technical University, Turkey)

Abstract : Estimation of the self-similarity parameter, also known as Hurst (H) parameter, is an important issue. In this paper, we study one of the H parameter estimation methods, namely the Principal Component Analysis (PCA) and show that this method may not give reliable results for the persistent part (H>0.5) of the fractional Brownian motion. Moreover, when the results are unreliable, the eigenvalue progression seriously deviates from linearity. Thus, with a linear-fit error threshold, one can comment on the reliability for the results of the PCA method.

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