Using Digital Filtration for Hurst Parameter Estimation

Radioengineering

关键词: Self-similarity;    Hurst parameter;    autocorrelation function;    fractional Gaussian noise.;   

DOI  :  

来源: DOAJ

【 摘 要 】

We present a new method to estimate the Hurst parameter. The method exploits the form of the autocorrelation function for second-order self-similar processes and is based on one-pass digital filtration. We compare the performance and properties of the new method with that of the most common methods.

【 授权许可】

Unknown