Efficiently implementing the maximum likelihood estimator for Hurst exponent

DOI10.1155/2014/490568zbMath1407.62067OpenAlexW2117587513WikidataQ59067776 ScholiaQ59067776MaRDI QIDQ1718521

Yen-Ching Chang

Publication date: 8 February 2019

Published in: Mathematical Problems in Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2014/490568

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Point estimation (62F10)

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Uses Software

• longmemo

Cites Work

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• Application of the Hurst exponent in ecology
• Combining fractal and deterministic walkers for texture analysis and classification
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• A practical method for estimating fractal dimension
• A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion
• Fractional Brownian Motions, Fractional Noises and Applications

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