Using Digital Filtration for Hurst Parameter Estimation

Thumbnail
View/Open
Date
2009-06
Author
Alternative metrics PlumX
http://hdl.handle.net/11012/57104
Altmetrics
Metadata
Show full item record
Abstract
We present a new method to estimate the Hurst parameter. The method exploits the form of the autocorrelation function for second-order self-similar processes and is based on one-pass digital filtration. We compare the performance and properties of the new method with that of the most common methods.
Keywords
Self-similarity, Hurst parameter, autocorrelation function, fractional Gaussian noise
Persistent identifier
http://hdl.handle.net/11012/57104
Document type
Peer reviewed
Document version
Final PDF
Source
Radioengineering. 2009, vol. 18, č. 2, s. 238-241. ISSN 1210-2512
http://www.radioeng.cz/fulltexts/2009/09_02_238_241.pdf
Collections
Citace PRO
Creative Commons Attribution 3.0 Unported License
Except where otherwise noted, this item's license is described as Creative Commons Attribution 3.0 Unported License