Estimation of Hurst exponent revisited

DOI10.1016/j.csda.2006.07.033zbMath1162.62404OpenAlexW2002006523MaRDI QIDQ1020115

Piotr Wojdyłło, Jan Mielniczuk

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.07.033

zbMATH Keywords

long-range dependencescaling propertywavelet estimatordetrended fluctuation analysis (DFA) estimatorrescaled adjusted range statistic (R/S)

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Point estimation (62F10) Numerical methods for wavelets (65T60)

Related Items (20)

Statistical analysis of DWT coefficients of fGn processes using ARFIMA(p,d,q) models ⋮ Generalized Cauchy model of sea level fluctuations with long-range dependence ⋮ A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework ⋮ Sample size determination for group sequential test under fractional Brownian motion ⋮ The asymptotic behavior of the R/S statistic for fractional Brownian motion ⋮ On wavelet analysis of the \(n\)th order fractional Brownian motion ⋮ Long-range dependence and heavy tail characteristics for remaining useful life prediction in rolling bearing degradation ⋮ Statistical test for fractional Brownian motion based on detrending moving average algorithm ⋮ Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation ⋮ Fractional Brownian motion: difference iterative forecasting models ⋮ A study of wavelet analysis and data extraction from second-order self-similar time series ⋮ Accurate modeling of VoIP traffic QoS parameters in current and future networks with multifractal and Markov models ⋮ A note on the continuity in the hurst index of the solution of rough differential equations driven by a fractional brownian motion ⋮ Fractal time series -- A tutorial review ⋮ Optimizing a basket against the efficient market hypothesis ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate ⋮ Multifractal analysis of hydrologic data using wavelet methods and fluctuation analysis ⋮ HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS ⋮ Simultaneous estimation of the parameters of the Hurst-Kolmogorov stochastic process ⋮ Group sequential tests under fractional Brownian motion in monitoring clinical trials

Uses Software

• LASS
• wmtsa

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Estimating the Hurst effect and its application in monitoring clinical trials
• LASS: a tool for the local analysis of self-similarity
• A critical look at Lo's modified \(R/S\) statistic.
• Meaningful MRA initialization for discrete time series.
• Estimating long-range dependence: Finite sample properties and confidence intervals
• Gaussian semiparametric estimation of long range dependence
• Estimation and information in stationary time series
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• Tests for Hurst effect
• The distribution of the maximum Brownian excursion
• The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands
• Long-Term Memory in Stock Market Prices
• ON THE AUTOMATIC SELECTION OF THE ONSET OF SCALING
• A wavelet-based joint estimator of the parameters of long-range dependence
• Limit theorems on the self-normalized range for weakly and strongly dependent processes
• Estimating Long Memory in Volatility
• Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
• Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient

This page was built for publication: Estimation of Hurst exponent revisited