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Title: Generalized approach to Hurst exponent estimating
Authors: Булах, В. А.
Кіріченко, Л. О.
Радивилова, Т. А.
Keywords: self-similar stochastic process
time series
Hurst exponent
Issue Date: 2018
Publisher: IAPGOŚ
Citation: Bulakh V. Generalized approach to Hurst exponent estimating / V. Bulakh, L. Kirichenko, T. Radivilova // Informatyka, Automatyka, Pomiary w Gospodarcei Ochronie Środowiska (IAPGOŚ). – 2018. – №8 (1). – РР. 28-31.
Abstract: This paper presents a generalized approach to the fractal analysis of self-similar random processes by short time series. Several stages of the fractal analysis are proposed. Preliminary time series analysis includes the removal of short-term dependence, the identification of true long-term dependence and hypothesis test on the existence of a self-similarity property. Methods of unbiased interval estimation of the Hurst exponent in cases of stationary and non-stationary time series are discussed. Methods of estimate refinement are proposed. This approach is applicable to the study of selfsimilar time series of different nature
Appears in Collections:Кафедра прикладної математики (ПМ)

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