Generalized approach to Hurst exponent estimating by time series
Електронного архіву Харківського національного університету радіоелектроніки (Open Access Repository of KHNURE)
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Generalized approach to Hurst exponent estimating by time series
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| Creator |
Kirichenko, L.
Radivilova, T. Bulakh, V. |
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| Subject |
fractal analysis
short time series Hurst exponen |
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| Description |
This paper presents a generalized approach to the fractal analysis of self-similar random processes by short time series. Several stages of the fractal analysis are proposed. Preliminary time series analysis includes the removal of short-term dependence, the identification of true long-term dependence and hypothesis test on the existence of a self-similarity property. Methods of unbiased interval estimation of the Hurst exponent in cases of stationary and non-stationary time series are discussed. Methods of estimate refinement are proposed. This approach is applicable to the study of self-similar time series of different nature.
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| Date |
2018-06-04T12:24:26Z
2018-06-04T12:24:26Z 2018 |
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| Type |
Article
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| Identifier |
Kirichenko L. Generalized approach to Hurst exponent estimating by time series / Lyudmyla Kirichenko, Tamara Radivilova, Vitalii Bulakh // Informatyka Automatyka Pomiary w Gospodarce i Ochronie Środowiska, 2018, Volume 8, No. 1, pp.28-31
2083-0157 http://openarchive.nure.ua/handle/document/5772 |
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| Language |
en
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| Relation |
8 (1);
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