Публікація: Generalized approach to Hurst exponent estimating by time series
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Дата
2018
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Анотація
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 self-similar time series of different nature.
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Ключові слова
fractal analysis, short time series, Hurst exponen
Бібліографічний опис
Kirichenko L. Generalized approach to Hurst exponent estimating by time series / Lyudmyla Kirichenko, Tamara Radivilova, Vitalii Bulakh // Informatyka Automatyka Pomiary w Gospodarce i Ochronie Środowiska, 2018, Volume 8, No. 1, pp.28-31