An accurate algorithm to calculate the Hurst exponent of self-similar processes

DOI10.1016/J.PHYSLETA.2014.06.018MaRDI QIDQ489372zbMATH OpenOpenAlexFDO

Authors I. M. Román-Sánchez, M. Fernández-Martínez, Miguel Angel Sanchez Granero, Juan Evangelista Trinidad Segovia

Publication date 20 January 2015

Published in Physics Letters. A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physleta.2014.06.018

zbMATH Keywords

fractional Brownian motionlong memoryHurst exponentFD algorithmsGM algorithmsLévy stable motion

Mathematics Subject Classification ID

Generalized stochastic processes (60G20) Self-similar stochastic processes (60G18)

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Cited in

(9)

• A note on power-law cross-correlated processes
• Semimartingale properties of a generalised fractional Brownian motion and its mixtures with applications in asset pricing
• Hurst exponent estimation of self-affine time series using quantile graphs
• Extending the Fama and French model with a long term memory factor
• A new topological indicator for chaos in mechanical systems
• Fast and unbiased estimator of the time-dependent Hurst exponent
• A theoretical framework for the TTA algorithm
• Bayesian approach to Hurst exponent estimation
• Wavelet-based estimations of fractional Brownian sheet: least squares versus maximum likelihood

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