A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion

DOI10.1109/78.984735zbMath1369.60055OpenAlexW2155389514MaRDI QIDQ5353607

Yen-Ching Chang, Shyang Chang

Publication date: 8 September 2017

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/78.984735

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (5)

Efficiently implementing the maximum likelihood estimator for Hurst exponent ⋮ MODELING NETWORK TRAFFIC USING CAUCHY CORRELATION MODEL WITH LONG-RANGE DEPENDENCE ⋮ INTRODUCING AN INTERPOLATION METHOD TO EFFICIENTLY IMPLEMENT AN APPROXIMATE MAXIMUM LIKELIHOOD ESTIMATOR FOR THE HURST EXPONENT ⋮ A fractional linear system view of the fractional Brownian motion ⋮ AN EFFICIENT MAXIMUM LIKELIHOOD ESTIMATOR FOR TWO-DIMENSIONAL FRACTIONAL BROWNIAN MOTION

This page was built for publication: A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion