Homology groups of embedded fractional Brownian motion.

Abstract

A well-known class of nonstationary self-similar time series is the fractional Brownian motion (fBm) considered to model ubiquitous stochastic processes in nature. Due to noise and trends superimposed on data and even sample size and irregularity impacts, the well-known computational algorithm to compute the Hurst exponent (H) has encountered superior results. Motivated by this discrepancy, we examine the homology groups of high-dimensional point cloud data (PCD), a subset of the unit D-dimensional cube, constructed from synthetic fBm data as a pipeline to compute the H exponent. We compute topological measures for embedded PCD as a function of the associated Hurst exponent for different embedding dimensions, time delays, and amount of irregularity existing in the dataset in various scales. Our results show that for a regular synthetic fBm, the higher value of the embedding dimension leads to increasing the H dependency of topological measures based on zeroth and first homology groups. To achieve a reliable classification of fBm, we should consider the small value of time delay irrespective of the irregularity presented in the data. More interestingly, the value of the scale for which the PCD to be path connected and the postloopless regime scale are more robust concerning irregularity for distinguishing the fBm signal. Such robustness becomes less for the higher value of the embedding dimension. Finally, the associated Hurst exponents for our topological feature vector for the S&P500 were computed, and the results are consistent with the detrended fluctuation analysis method.