Efficiently Implementing the Maximum Likelihood Estimator for Hurst Exponent
نویسندگان
چکیده
منابع مشابه
Estimating the Hurst Exponent
The Hurst Exponent is a dimensionless estimator for the self-similarity of a time series. Initially defined by Harold Edwin Hurst to develop a law for regularities of the Nile water level, it now has applications in medicine and finance. Meaningful values are in the range [0, 1]. Different methods for estimating the Hurst Exponent have been evaluated: The classical “Rescaled Range” method devel...
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ژورنال
عنوان ژورنال: Mathematical Problems in Engineering
سال: 2014
ISSN: 1024-123X,1563-5147
DOI: 10.1155/2014/490568