Fast and unbiased estimator of the time-dependent Hurst exponent
Copyright policy )Fast and unbiased estimator of the time-dependent Hurst exponent
We combine two existing estimators of the local Hurst exponent to improve both the goodness of fit and the computational speed of the algorithm. An application with simulated time series is implemented, and a Monte Carlo simulation is performed to provide evidence of the improvement.
- University of Cassino and Southern Lazio Italy
- New York University United States
- Sapienza University of Rome Italy
Time series, auto-correlation, regression, etc. in statistics (GARCH), Fractional processes, including fractional Brownian motion, Gaussian processes, Statistical analysis, Statistical physics, Probability theory, Monte Carlo methods, Computational methods, Stochastic processes, Mathematical physics, Brownian motion, Gaussian processes; Statistical analysis; Statistical physics; Probability theory; Monte Carlo methods; Computational methods; Stochastic processes; Mathematical physics; Brownian motion, Computational methods for problems pertaining to statistics, Non-Markovian processes: estimation
Time series, auto-correlation, regression, etc. in statistics (GARCH), Fractional processes, including fractional Brownian motion, Gaussian processes, Statistical analysis, Statistical physics, Probability theory, Monte Carlo methods, Computational methods, Stochastic processes, Mathematical physics, Brownian motion, Gaussian processes; Statistical analysis; Statistical physics; Probability theory; Monte Carlo methods; Computational methods; Stochastic processes; Mathematical physics; Brownian motion, Computational methods for problems pertaining to statistics, Non-Markovian processes: estimation
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