A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion

DOI10.1109/78.984735zbMATH Open1369.60055OpenAlexW2155389514MaRDI QIDQ5353607FDOQ5353607

Authors: Yen-Ching Chang, Shyang Chang 

Publication date: 8 September 2017

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/78.984735

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Mathematics Subject Classification ID

Brownian motion (60J65)

Cited In (8)

• Distinguishing between fractional Brownian motion with random and constant Hurst exponent using sample autocovariance-based statistics
• MODELING NETWORK TRAFFIC USING CAUCHY CORRELATION MODEL WITH LONG-RANGE DEPENDENCE
• A fractional linear system view of the fractional Brownian motion
• Scaled Brownian motion with random anomalous diffusion exponent
• AN EFFICIENT MAXIMUM LIKELIHOOD ESTIMATOR FOR TWO-DIMENSIONAL FRACTIONAL BROWNIAN MOTION
• Introducing an interpolation method to efficiently implement an approximate maximum likelihood estimator for the Hurst exponent
• Efficiently implementing the maximum likelihood estimator for Hurst exponent
• Estimation of the Hurst parameter for fractional Brownian motion using the CMARS method

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