Bayesian estimation of self-similarity exponent

In this study we propose a bayesian approach to the estimation of the Hurst exponent in terms of linear mixed models. Even for unevenly sampled signals and signals with gaps, our method is applicable. We test our method by using artificial fractional brownian motion of different length and compare it with the detrended fluctuation analysis technique. The estimation of the Hurst exponent of a Rosenblatt process is shown as an example of an H-self-similar process with non-gaussian dimensional distribution. Additionally, we perform an analysis with real data, the Dow-Jones Industrial Average closing values, and analyze its temporal variation of the Hurst exponent.