A Proposal for Real Time Hurst Parameter Derivation

A Proposal for Real Time Hurst Parameter Derivation

In case we intend to make use of Hurst parameter H in real time, fast derivation of H becomes a practical requirement. We propose an algorithm to reduce the calculation cost of the cumulative range in an R/S analysis. By installing our algorithm we could reduce the H derivation time less than one se...

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Veröffentlicht in:Denki Gakkai ronbunshi. C, Erekutoronikusu, joho kogaku, shisutemu Information and Systems, 2007/06/01, Vol.127(6), pp.968-969
Hauptverfasser: Igarashi, Ryuji, Takahashi, Akinori, Ueda, Hiroshi, Nasuno, Yutaka, Iwaya, Yukio, Sakata, Masato, Kinoshita, Tetsuo
Format: Artikel
Sprache:eng
Schlagworte:
fractional gaussian noise
hurst parameter
R/S analysis
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Zusammenfassung:In case we intend to make use of Hurst parameter H in real time, fast derivation of H becomes a practical requirement. We propose an algorithm to reduce the calculation cost of the cumulative range in an R/S analysis. By installing our algorithm we could reduce the H derivation time less than one second at reasonable data sizes, which provides real time applicability.
ISSN:0385-4221
1348-8155
DOI:10.1541/ieejeiss.127.968