Hurst exponent estimation from short time series
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21340%2F19%3A00335999" target="_blank" >RIV/68407700:21340/19:00335999 - isvavai.cz</a>
Result on the web
<a href="http://hdl.handle.net/10467/86994" target="_blank" >http://hdl.handle.net/10467/86994</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1007/s11760-018-1353-2" target="_blank" >10.1007/s11760-018-1353-2</a>
Alternative languages
Result language
angličtina
Original language name
Hurst exponent estimation from short time series
Original language description
Fractal investigation of time series is very complex for several reasons. Due to the existence of fully continuous model, on which the majority of conventional methods are based, the quality of Hurst exponent estimate is often influenced by the number of input data and its sampling rate. In this work, we present a novel approach of unbiased Hurst exponent estimate that is suitable especially for short time series. The crucial idea is deriving the discrete fractional Brownian bridge and its statistical properties that can be subsequently used for model parameter estimation. For the verification and demonstration of efficiency of the method, several generators of fractional Gaussian noise are presented and tested.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)
Result continuities
Project
<a href="/en/project/EF16_019%2F0000765" target="_blank" >EF16_019/0000765: Research Center for Informatics</a><br>
Continuities
P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)<br>S - Specificky vyzkum na vysokych skolach<br>I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2019
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
SIGNAL IMAGE AND VIDEO PROCESSING
ISSN
1863-1703
e-ISSN
1863-1711
Volume of the periodical
13
Issue of the periodical within the volume
2
Country of publishing house
GB - UNITED KINGDOM
Number of pages
7
Pages from-to
263-269
UT code for WoS article
000459989400007
EID of the result in the Scopus database
2-s2.0-85053269788