Time scale dependence on the working nature of wavelet analysis makes it a valuable tool for Hurst parameter estimation Similar to other wavelet-based signal processing applications, the selection of a particular wavelet type and vanishing moment m wavelet based Hurst estimation is a challenging problem In this paper, we investigate the best Daubechies wavelet in wavelet based Hurst estimation for an exact self similar process, fractional Gaussian noise and how Daubechies vanishing moment affects the Hurst estimation accuracy Daubechies wavelets are preferred in analysis because increasing vanishing moment does not cause excessive increase of time support of Daubechies wavelets Thus, limited time support of wavelets reduces the border effec...
We estimate the Hurst parameter H of a fractional Brownian motion from discrete noisy data observed ...
Abstract: In the paper is applied wavelet-based Hurst parameter estimator for analysis of simulated ...
Abstract: Wavelet based estimators of the H parameter for fractional Brownian motion (fBm) is known ...
In this paper we analyze a wavelet based method for the estimation of the Hurst parameter of synthet...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
We consider the problem of estimating the Hurst parameter for long-range dependent processes using w...
D.Phil. (Mathematical Statistics)Fractional Brownian motion and its increment process, fractional Ga...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
Fast and robust Hurst parameter estimation of traffic data traces tops the bill of nowadays problems...
Abstract — Correct and efficient estimation of the Hurst pa-rameter of long-range dependent (LRD) vi...
International audienceWe estimate the Hurst parameter H of a fractional Brownian motion from discret...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
<p>Along with estimates for the simulated time series (blue), estimates for the time series integral...
Abstract A fractional Fourier transform (FrFT) based es-timation method is introduced in this paper ...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
We estimate the Hurst parameter H of a fractional Brownian motion from discrete noisy data observed ...
Abstract: In the paper is applied wavelet-based Hurst parameter estimator for analysis of simulated ...
Abstract: Wavelet based estimators of the H parameter for fractional Brownian motion (fBm) is known ...
In this paper we analyze a wavelet based method for the estimation of the Hurst parameter of synthet...
In this paper, we build an estimator of the Hurst exponent of a fractional Lévy motion based on its ...
We consider the problem of estimating the Hurst parameter for long-range dependent processes using w...
D.Phil. (Mathematical Statistics)Fractional Brownian motion and its increment process, fractional Ga...
In the paper consistent estimates of the Hurst parameter of fractional Brownian motion are obtained ...
Fast and robust Hurst parameter estimation of traffic data traces tops the bill of nowadays problems...
Abstract — Correct and efficient estimation of the Hurst pa-rameter of long-range dependent (LRD) vi...
International audienceWe estimate the Hurst parameter H of a fractional Brownian motion from discret...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
<p>Along with estimates for the simulated time series (blue), estimates for the time series integral...
Abstract A fractional Fourier transform (FrFT) based es-timation method is introduced in this paper ...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
We estimate the Hurst parameter H of a fractional Brownian motion from discrete noisy data observed ...
Abstract: In the paper is applied wavelet-based Hurst parameter estimator for analysis of simulated ...
Abstract: Wavelet based estimators of the H parameter for fractional Brownian motion (fBm) is known ...