Bayesian approach to Hurst exponent estimation

DOI10.1007/s11009-017-9543-xzbMath1390.60136OpenAlexW2578611916MaRDI QIDQ1707059

Martin Dlask, Oldrich Vysata, Jaromír Kukal

Publication date: 28 March 2018

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-017-9543-x

zbMATH Keywords

fractal dimensionHurst exponentBayesian approach

Mathematics Subject Classification ID

Gaussian processes (60G15) Bayesian problems; characterization of Bayes procedures (62C10)

Cites Work

• Unnamed Item
• Unnamed Item
• An accurate algorithm to calculate the Hurst exponent of self-similar processes
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Hurst exponent estimation of self-affine time series using quantile graphs
• 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
• Hurst exponent analysis of financial time series
• A Bayesian Formulation of Exploratory Data Analysis and Goodness‐of‐fit Testing*
• Fractional Brownian Motions, Fractional Noises and Applications
• An invariant form for the prior probability in estimation problems

This page was built for publication: Bayesian approach to Hurst exponent estimation