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http://dx.doi.org/10.3741/JKWRA.2004.37.12.993

On the Estimation Techniques of Hurst exponent  

Kim, Byung-Sik (한국건설기술연구원 수자원연구부)
Kim, Hung-Soo (인하대학교 토목공학과)
Seoh, Byung-Ha (인하대학교 토목공학과)
Publication Information
Journal of Korea Water Resources Association / v.37, no.12, 2004 , pp. 993-1007 More about this Journal
Abstract
There are many different techniques for the estimation of the Hurst exponent. However, the techniques can produce different characteristics for the persistence of a time series each other. This study uses several techniques such as adjusted range, resealed range(RR) analysis, modified restated range(MRR) analysis, 1/f power spectral density analysis, Maximum Likelihood Estimation(MLE), detrended fluctuations analysis(DFA), and aggregated variance time(AVT)method for the Hurst exponent estimation. The generated time series from chaos and stochastic systems are analyzed for the comparative study of the techniques. Then this study discusses the advantages and disadvantages of the techniques and also the limitations of them.
Keywords
Hurst exponent; long & short term memory; RR; DFA; AVT;
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