Using Digital Filtration for Hurst Parameter Estimation

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2009-06
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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
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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
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Except where otherwise noted, this item's license is described as Creative Commons Attribution 3.0 Unported License