Abstract. We present a new method to estimate the Hurst parameter. The method exploits the form of the autocorre-lation 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
International audienceWe estimate the Hurst parameter H of a fractional Brownian motion from discret...
Nowadays a lot of methods for the estimation of Hurst's coefficient (H) in time series are available...
International audienceThe detrended fluctuation analysis (DFA) and its higher-order variant make it ...
We present a new method to estimate the Hurst parameter. The method exploits the form of the autocor...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
We present a new method to estimate the Hurst parameter of the increment process in network traffic ...
We present a new method to estimate the Hurst pa-rameter of the increment process in network traffic...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
Abstract: Data trafc traces are known to be bursty with long range dependence. The exact self-simila...
In this paper we analyze a wavelet based method for the estimation of the Hurst parameter of synthet...
We present some iterative method for estimation of the scale and Hurst parameters which is addressed...
We combine two existing estimators of the local Hurst exponent to improve both the goodness of fit a...
We estimate the Hurst parameter H of a fractional Brownian motion from discrete noisy data observed ...
Time scale dependence on the working nature of wavelet analysis makes it a valuable tool for Hurst p...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
International audienceWe estimate the Hurst parameter H of a fractional Brownian motion from discret...
Nowadays a lot of methods for the estimation of Hurst's coefficient (H) in time series are available...
International audienceThe detrended fluctuation analysis (DFA) and its higher-order variant make it ...
We present a new method to estimate the Hurst parameter. The method exploits the form of the autocor...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
We present a new method to estimate the Hurst parameter of the increment process in network traffic ...
We present a new method to estimate the Hurst pa-rameter of the increment process in network traffic...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
Abstract: Data trafc traces are known to be bursty with long range dependence. The exact self-simila...
In this paper we analyze a wavelet based method for the estimation of the Hurst parameter of synthet...
We present some iterative method for estimation of the scale and Hurst parameters which is addressed...
We combine two existing estimators of the local Hurst exponent to improve both the goodness of fit a...
We estimate the Hurst parameter H of a fractional Brownian motion from discrete noisy data observed ...
Time scale dependence on the working nature of wavelet analysis makes it a valuable tool for Hurst p...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
International audienceWe estimate the Hurst parameter H of a fractional Brownian motion from discret...
Nowadays a lot of methods for the estimation of Hurst's coefficient (H) in time series are available...
International audienceThe detrended fluctuation analysis (DFA) and its higher-order variant make it ...