Estimation of the Hurst ParameterofLong - Range Dependent Time
نویسنده
چکیده
This paper is a condensed introduction to self-similarity, self-similar processes, and the estimation of the Hurst parameter in the context of time series analysis. It gives an overview of the literature on this subject and provides some assistance in implementing Hurst parameter estimators and carrying out experiments with empirical time series.
منابع مشابه
Estimation of the Hurst Parameter of Long-range Dependent Time Series
This paper is a condensed introduction to self-similarity, self-similar processes, and the estimation of the Hurst parameter in the context of time series analysis. It gives an overview of the literature on this subject and provides some assistance in implementing Hurst parameter estimators and carrying out experiments with empirical time series.
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