Using Digital Filtration for Hurst Parameter Estimation
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.
Persistent identifier
http://hdl.handle.net/11012/57104Document type
Peer reviewedDocument version
Final PDFSource
Radioengineering. 2009, vol. 18, č. 2, s. 238-241. ISSN 1210-2512http://www.radioeng.cz/fulltexts/2009/09_02_238_241.pdf
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