Generalized approach to Hurst exponent estimating
Електронного архіву Харківського національного університету радіоелектроніки (Open Access Repository of KHNURE)
Переглянути архів Інформація| Поле | Співвідношення | |
| Title |
Generalized approach to Hurst exponent estimating
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| Creator |
Булах, В. А.
Кіріченко, Л. О. Радивилова, Т. А. |
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| Subject |
self-similar stochastic process
time series Hurst exponent |
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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 selfsimilar time series of different nature |
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| Date |
2018-06-05T18:57:03Z
2018-06-05T18:57:03Z 2018 |
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| Type |
Article
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| Identifier |
Bulakh V. Generalized approach to Hurst exponent estimating / V. Bulakh, L. Kirichenko, T. Radivilova // Informatyka, Automatyka, Pomiary w Gospodarcei Ochronie Środowiska (IAPGOŚ). – 2018. – №8 (1). – РР. 28-31.
http://openarchive.nure.ua/handle/document/5842 |
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| Language |
en
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| Publisher |
IAPGOŚ
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