Bayesian approach to Hurst exponent estimation
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Cites work
- A Bayesian Formulation of Exploratory Data Analysis and Goodness‐of‐fit Testing*
- An accurate algorithm to calculate the Hurst exponent of self-similar processes
- An invariant form for the prior probability in estimation problems
- Estimation and information in stationary time series
- ESTIMATION OF FRACTAL INDEX AND FRACTAL DIMENSION OF A GAUSSIAN PROCESS BY COUNTING THE NUMBER OF LEVEL CROSSINGS
- Fractional Brownian Motions, Fractional Noises and Applications
- scientific article; zbMATH DE number 26226 (Why is no real title available?)
- scientific article; zbMATH DE number 3048061 (Why is no real title available?)
- Hurst exponent analysis of financial time series
- Hurst exponent estimation of self-affine time series using quantile graphs
- Quadratic variations and estimation of the local Hölder index of a Gaussian process
Cited in
(4)- Efficiently implementing the maximum likelihood estimator for Hurst exponent
- A combined measure to differentiate EEG signals using fractal dimension and MFDFA-Hurst
- The non-linear relationship between randomness and scaling properties such as fractal dimensions and Hurst exponent in distributed signals
- Fast and unbiased estimator of the time-dependent Hurst exponent
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