An accurate algorithm to calculate the Hurst exponent of self-similar processes

DOI10.1016/j.physleta.2014.06.018zbMath1303.60029OpenAlexW2063949022MaRDI QIDQ489372

I. M. Román-Sánchez, Manuel Fernández-Martínez, Juan Evangelista Trinidad Segovia, Miguel Angel Sánchez-Granero

Publication date: 20 January 2015

Published in: Physics Letters. A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physleta.2014.06.018

zbMATH Keywords

fractional Brownian motionlong memoryHurst exponentFD algorithmsGM algorithmsLévy stable motion

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Self-similar stochastic processes (60G18)

Related Items (6)

A note on power-law cross-correlated processes ⋮ A new topological indicator for chaos in mechanical systems ⋮ Bayesian approach to Hurst exponent estimation ⋮ Extending the Fama and French model with a long term memory factor ⋮ Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood ⋮ A theoretical framework for the TTA algorithm

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