Hypothesis Testing on 3-dimensional fractional Brownian motion (fBM)
1Test PowerHigh Rank PCFD
Evaluation Results
| Method | Links | |
|---|---|---|
| High Rank PCFDHurst parameter (H)=0.4, number of runs=52024.05 | 1 | |
| PCFDHurst parameter (H)=0.4, number of runs=52024.05 | 1 | |
| High Rank PCFDHurst parameter (H)=0.425, number of runs=52024.05 | 1 | |
| PCFDHurst parameter (H)=0.425, number of runs=52024.05 | 1 | |
| High Rank PCFDHurst parameter (H)=0.575, number of runs=52024.05 | 1 | |
| PCFDHurst parameter (H)=0.575, number of runs=52024.05 | 1 | |
| High Rank PCFDHurst parameter (H)=0.6, number of runs=52024.05 | 1 | |
| PCFDHurst parameter (H)=0.6, number of runs=52024.05 | 1 | |
| PCFDHurst parameter (H)=0.45, number of runs=52024.05 | 0.99 | |
| High Rank PCFDHurst parameter (H)=0.55, number of runs=52024.05 | 0.99 | |
| RBF Signature MMDHurst parameter (H)=0.4, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.97 | |
| Classical RBF MMDHurst parameter (H)=0.4, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.97 | |
| High Rank PCFDHurst parameter (H)=0.45, number of runs=52024.05 | 0.97 | |
| PCFDHurst parameter (H)=0.55, number of runs=52024.05 | 0.95 | |
| RBF Signature MMDHurst parameter (H)=0.6, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.75 | |
| RBF Signature MMDHurst parameter (H)=0.425, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.69 | |
| Classical RBF MMDHurst parameter (H)=0.6, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.67 | |
| Classical RBF MMDHurst parameter (H)=0.425, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.58 | |
| RBF Signature MMDHurst parameter (H)=0.575, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.5 | |
| Classical RBF MMDHurst parameter (H)=0.575, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.48 | |
| High Rank PCFDHurst parameter (H)=0.475, number of runs=52024.05 | 0.31 | |
| High Rank PCFDHurst parameter (H)=0.525, number of runs=52024.05 | 0.3 | |
| Classical RBF MMDHurst parameter (H)=0.45, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.24 | |
| High Rank signature MMDHurst parameter (H)=0.4, number of runs=5, sigma1=1, sigma2=12024.05 | 0.22 | |
| High Rank signature MMDHurst parameter (H)=0.6, number of runs=5, sigma1=1, sigma2=12024.05 | 0.22 | |
| High Rank signature MMDHurst parameter (H)=0.525, number of runs=5, sigma1=1, sigma2=12024.05 | 0.19 | |
| Classical RBF MMDHurst parameter (H)=0.55, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.19 | |
| High Rank signature MMDHurst parameter (H)=0.55, number of runs=5, sigma1=1, sigma2=12024.05 | 0.18 | |
| RBF Signature MMDHurst parameter (H)=0.55, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.17 | |
| RBF Signature MMDHurst parameter (H)=0.45, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.15 | |
| High Rank signature MMDHurst parameter (H)=0.425, number of runs=5, sigma1=1, sigma2=12024.05 | 0.14 | |
| High Rank signature MMDHurst parameter (H)=0.45, number of runs=5, sigma1=1, sigma2=12024.05 | 0.14 | |
| High Rank signature MMDHurst parameter (H)=0.575, number of runs=5, sigma1=1, sigma2=12024.05 | 0.14 | |
| Linear Signature MMDHurst parameter (H)=0.55, number of runs=52024.05 | 0.13 | |
| High Rank signature MMDHurst parameter (H)=0.475, number of runs=5, sigma1=1, sigma2=12024.05 | 0.12 | |
| Linear Signature MMDHurst parameter (H)=0.425, number of runs=52024.05 | 0.1 | |
| Classical Linear MMDHurst parameter (H)=0.575, number of runs=52024.05 | 0.1 | |
| Linear Signature MMDHurst parameter (H)=0.4, number of runs=52024.05 | 0.09 | |
| Classical RBF MMDHurst parameter (H)=0.525, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.09 | |
| PCFDHurst parameter (H)=0.525, number of runs=52024.05 | 0.08 | |
| Classical Linear MMDHurst parameter (H)=0.525, number of runs=52024.05 | 0.08 | |
| RBF Signature MMDHurst parameter (H)=0.525, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.07 | |
| Linear Signature MMDHurst parameter (H)=0.575, number of runs=52024.05 | 0.07 | |
| Classical Linear MMDHurst parameter (H)=0.45, number of runs=52024.05 | 0.06 | |
| PCFDHurst parameter (H)=0.475, number of runs=52024.05 | 0.06 | |
| Classical Linear MMDHurst parameter (H)=0.55, number of runs=52024.05 | 0.06 | |
| Classical Linear MMDHurst parameter (H)=0.6, number of runs=52024.05 | 0.06 | |
| Classical Linear MMDHurst parameter (H)=0.4, number of runs=52024.05 | 0.05 | |
| Linear Signature MMDHurst parameter (H)=0.525, number of runs=52024.05 | 0.05 | |
| Linear Signature MMDHurst parameter (H)=0.6, number of runs=52024.05 | 0.05 | |
| Linear Signature MMDHurst parameter (H)=0.45, number of runs=52024.05 | 0.04 | |
| RBF Signature MMDHurst parameter (H)=0.475, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.04 | |
| Classical RBF MMDHurst parameter (H)=0.475, number of runs=5, sigma=sqrt(0.05)2024.05 | 0.02 | |
| Classical Linear MMDHurst parameter (H)=0.425, number of runs=52024.05 | 0.01 | |
| Linear Signature MMDHurst parameter (H)=0.475, number of runs=52024.05 | 0.01 | |
| Classical Linear MMDHurst parameter (H)=0.475, number of runs=52024.05 | 0.01 |