Fast and unbiased estimator of the time-dependent Hurst exponent

Fast and unbiased estimator of the time-dependent Hurst exponent

We combine two existing estimators of the local Hurst exponent to improve both the goodness of fit and the computational speed of the algorithm. An application with simulated time series is implemented, and a Monte Carlo simulation is performed to provide evidence of the improvement.

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Veröffentlicht in:Chaos (Woodbury, N.Y.) N.Y.), 2018-03, Vol.28 (3), p.031102-031102
Hauptverfasser: Pianese, Augusto, Bianchi, Sergio, Palazzo, Anna Maria
Format: Artikel
Sprache:eng
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Zusammenfassung:We combine two existing estimators of the local Hurst exponent to improve both the goodness of fit and the computational speed of the algorithm. An application with simulated time series is implemented, and a Monte Carlo simulation is performed to provide evidence of the improvement.
ISSN:1054-1500
1089-7682
DOI:10.1063/1.5025318