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Evaluating scaled windowed variance methods for estimating the Hurst coefficient of time series
Three-scaled windowed variance methods (standard, linear regression detrended, and brdge detrended) for estimating the Hurst coefficient (H) are evaluated. The Hurst coefficient, with 0 < H < 1, characterizes self-similar decay in the time-series autocorrelation function. The scaled windowed v...
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| Main Authors: | , , , , |
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| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
1997
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| Teme: | |
| Online dostop: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3204962/ https://ncbi.nlm.nih.gov/pubmed/22049250 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/S0378-4371(97)00252-5 |
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