Wavelets Comparison at Hurst Exponent Estimation

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F68407700%3A21630%2F16%3A00311808" target="_blank" >RIV/68407700:21630/16:00311808 - isvavai.cz</a>

Result on the web

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DOI - Digital Object Identifier

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Result language

angličtina

Original language name

Wavelets Comparison at Hurst Exponent Estimation

Original language description

In this paper we present Discrete Wavelet Transformation based on Hurst exponent estimation and compare di↵erent Wavelets used in the process. Self-similar behavior mostly associated with fractals can be found in broad range of areas. For self-afine processes the local properties are reflected in the global ones and the Hurst exponent is related to fractal dimension, where fractal dimension is a measure of the roughness of a surface. For usually non-stationary time series the Hurst exponent is a measure of long term memory of time series. From former works mentioned in references we know that discrete Wavelet Transformation provides better accuracy compared to Continuous Wavelet Transformation and that it outperforms methods based on the Fourier spectral analysis and R/S analysis.

Czech name

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Czech description

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Type

D - Article in proceedings

CEP classification

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OECD FORD branch

50202 - Applied Economics, Econometrics

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2016

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection

Mathematical Methods in Economics 2016

ISBN

978-80-7494-296-9

ISSN

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e-ISSN

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Number of pages

5

Pages from-to

757-761

Publisher name

Technical University of Liberec

Place of publication

Liberec

Event location

Liberec

Event date

Sep 6, 2016

Type of event by nationality

WRD - Celosvětová akce

UT code for WoS article

000385239500130