一些Hurst参数估计的比较

C. Stolojescu, A. Isar
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引用次数: 16

摘要

近年来,时间序列的长期相关性分析变得越来越重要。表征远程相关过程的一个关键参数是赫斯特参数h。本文的目的是比较赫斯特参数的几种估计技术。我们发现基于二阶离散小波变换统计分析的最佳估计量适用于二阶广义平稳随机过程。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
A comparison of some Hurst parameter estimators
In the last few years the long-range dependence analysis of time-series became more important. A key parameter characterizing long-range dependent processes is the Hurst parameter H. The goal of this paper is to compare some estimation techniques for the Hurst parameter. We found that the best estimator is the one based on the second order discrete wavelet transform statistical analysis and works for second order wide sense stationary random processes.
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