List your company
ResearchFormerly WizWand

Hypothesis Testing on 3-dimensional fractional Brownian motion (fBM)

1Test PowerHigh Rank PCFD
-0.02960.23770.5050.7723May 23, 2024
Updated 8mo ago

Evaluation results

MethodLinks
High Rank PCFDHurst parameter (H)=0.4, number of runs=52024.051
PCFDHurst parameter (H)=0.4, number of runs=52024.051
High Rank PCFDHurst parameter (H)=0.425, number of runs=52024.051
PCFDHurst parameter (H)=0.425, number of runs=52024.051
High Rank PCFDHurst parameter (H)=0.575, number of runs=52024.051
PCFDHurst parameter (H)=0.575, number of runs=52024.051
High Rank PCFDHurst parameter (H)=0.6, number of runs=52024.051
PCFDHurst parameter (H)=0.6, number of runs=52024.051
PCFDHurst parameter (H)=0.45, number of runs=52024.050.99
High Rank PCFDHurst parameter (H)=0.55, number of runs=52024.050.99
RBF Signature MMDHurst parameter (H)=0.4, number of runs=5, sigma=sqrt(0.05)2024.050.97
Classical RBF MMDHurst parameter (H)=0.4, number of runs=5, sigma=sqrt(0.05)2024.050.97
High Rank PCFDHurst parameter (H)=0.45, number of runs=52024.050.97
PCFDHurst parameter (H)=0.55, number of runs=52024.050.95
RBF Signature MMDHurst parameter (H)=0.6, number of runs=5, sigma=sqrt(0.05)2024.050.75
RBF Signature MMDHurst parameter (H)=0.425, number of runs=5, sigma=sqrt(0.05)2024.050.69
Classical RBF MMDHurst parameter (H)=0.6, number of runs=5, sigma=sqrt(0.05)2024.050.67
Classical RBF MMDHurst parameter (H)=0.425, number of runs=5, sigma=sqrt(0.05)2024.050.58
RBF Signature MMDHurst parameter (H)=0.575, number of runs=5, sigma=sqrt(0.05)2024.050.5
Classical RBF MMDHurst parameter (H)=0.575, number of runs=5, sigma=sqrt(0.05)2024.050.48
High Rank PCFDHurst parameter (H)=0.475, number of runs=52024.050.31
High Rank PCFDHurst parameter (H)=0.525, number of runs=52024.050.3
Classical RBF MMDHurst parameter (H)=0.45, number of runs=5, sigma=sqrt(0.05)2024.050.24
High Rank signature MMDHurst parameter (H)=0.4, number of runs=5, sigma1=1, sigma2=12024.050.22
High Rank signature MMDHurst parameter (H)=0.6, number of runs=5, sigma1=1, sigma2=12024.050.22
High Rank signature MMDHurst parameter (H)=0.525, number of runs=5, sigma1=1, sigma2=12024.050.19
Classical RBF MMDHurst parameter (H)=0.55, number of runs=5, sigma=sqrt(0.05)2024.050.19
High Rank signature MMDHurst parameter (H)=0.55, number of runs=5, sigma1=1, sigma2=12024.050.18
RBF Signature MMDHurst parameter (H)=0.55, number of runs=5, sigma=sqrt(0.05)2024.050.17
RBF Signature MMDHurst parameter (H)=0.45, number of runs=5, sigma=sqrt(0.05)2024.050.15
High Rank signature MMDHurst parameter (H)=0.425, number of runs=5, sigma1=1, sigma2=12024.050.14
High Rank signature MMDHurst parameter (H)=0.45, number of runs=5, sigma1=1, sigma2=12024.050.14
High Rank signature MMDHurst parameter (H)=0.575, number of runs=5, sigma1=1, sigma2=12024.050.14
Linear Signature MMDHurst parameter (H)=0.55, number of runs=52024.050.13
High Rank signature MMDHurst parameter (H)=0.475, number of runs=5, sigma1=1, sigma2=12024.050.12
Linear Signature MMDHurst parameter (H)=0.425, number of runs=52024.050.1
Classical Linear MMDHurst parameter (H)=0.575, number of runs=52024.050.1
Linear Signature MMDHurst parameter (H)=0.4, number of runs=52024.050.09
Classical RBF MMDHurst parameter (H)=0.525, number of runs=5, sigma=sqrt(0.05)2024.050.09
PCFDHurst parameter (H)=0.525, number of runs=52024.050.08
Classical Linear MMDHurst parameter (H)=0.525, number of runs=52024.050.08
RBF Signature MMDHurst parameter (H)=0.525, number of runs=5, sigma=sqrt(0.05)2024.050.07
Linear Signature MMDHurst parameter (H)=0.575, number of runs=52024.050.07
Classical Linear MMDHurst parameter (H)=0.45, number of runs=52024.050.06
PCFDHurst parameter (H)=0.475, number of runs=52024.050.06
Classical Linear MMDHurst parameter (H)=0.55, number of runs=52024.050.06
Classical Linear MMDHurst parameter (H)=0.6, number of runs=52024.050.06
Classical Linear MMDHurst parameter (H)=0.4, number of runs=52024.050.05
Linear Signature MMDHurst parameter (H)=0.525, number of runs=52024.050.05
Linear Signature MMDHurst parameter (H)=0.6, number of runs=52024.050.05
Linear Signature MMDHurst parameter (H)=0.45, number of runs=52024.050.04
RBF Signature MMDHurst parameter (H)=0.475, number of runs=5, sigma=sqrt(0.05)2024.050.04
Classical RBF MMDHurst parameter (H)=0.475, number of runs=5, sigma=sqrt(0.05)2024.050.02
Classical Linear MMDHurst parameter (H)=0.425, number of runs=52024.050.01
Linear Signature MMDHurst parameter (H)=0.475, number of runs=52024.050.01
Classical Linear MMDHurst parameter (H)=0.475, number of runs=52024.050.01