GENERALIZED APPROACH TO HURST EXPONENT ESTIMATING BY TIME SERIES
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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A major issue in time series analysis and particularly in the study of meteorological time series behaviour is the long range dependence (LRD). Various estimators of LRD have been proposed. Their accuracy have been generally tested by using simulated time series since sometimes only their asymptotic property are known, or worse, no asymptotic property have been proved. It is well – known that t...
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ژورنال
عنوان ژورنال: Informatics Control Measurement in Economy and Environment Protection
سال: 2018
ISSN: 2083-0157,2391-6761
DOI: 10.5604/01.3001.0010.8639