کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
418162 | 681615 | 2007 | 16 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Estimation of Hurst exponent revisited
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
مهندسی کامپیوتر
نظریه محاسباتی و ریاضیات
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چکیده انگلیسی
In order to estimate the Hurst exponent of long-range dependent time series numerous estimators such as based e.g. on rescaled range statistic (R/SR/S) or detrended fluctuation analysis (DFA) are traditionally employed. Motivated by empirical behaviour of the bias of R/SR/S estimator, its bias-corrected version is proposed. It has smaller mean squared error than DFA and behaves comparably to wavelet estimator for traces of size as large as 215215 drawn from some commonly considered long-range dependent processes. It is also shown that several variants of R/SR/S and DFA estimators are possible depending on the way they are defined and that they differ greatly in their performance.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 51, Issue 9, 15 May 2007, Pages 4510–4525
Journal: Computational Statistics & Data Analysis - Volume 51, Issue 9, 15 May 2007, Pages 4510–4525
نویسندگان
J. Mielniczuk, P. Wojdyłło,