A practical guide to measuring the Hurst parameter
Statistics Theory
2007-06-13 v1 Probability
Statistics Theory
Abstract
This paper describes, in detail, techniques for measuring the Hurst parameter. Measurements are given on artificial data both in a raw form and corrupted in various ways to check the robustness of the tools in question. Measurements are also given on real data, both new data sets and well-studied data sets. All data and tools used are freely available for download along with simple ``recipes'' which any researcher can follow to replicate these measurements.
Cite
@article{arxiv.math/0610756,
title = {A practical guide to measuring the Hurst parameter},
author = {Richard G. Clegg},
journal= {arXiv preprint arXiv:math/0610756},
year = {2007}
}
Comments
12 pages, 3 figures, 4 tables