Hurst exponent and its applications in time-series analysis

被引:0
|
作者
Resta, Marina [1 ]
机构
[1] School of Economics, University of Genova, P.O. Box 16126, Via Vivaldi 5, Genova, Italy
来源
Recent Patents on Computer Science | 2012年 / 5卷 / 03期
关键词
D O I
10.2174/2213275911205030211
中图分类号
学科分类号
摘要
引用
收藏
页码:211 / 219
相关论文
共 50 条
  • [41] LYAPUNOV EXPONENT OF MAGNETOSPHERIC ACTIVITY FROM AL TIME-SERIES
    VASSILIADIS, D
    SHARMA, AS
    PAPADOPOULOS, K
    GEOPHYSICAL RESEARCH LETTERS, 1991, 18 (08) : 1643 - 1646
  • [42] Hurst Exponent Analysis for Differenced Time Series of EEG Signal at The Metacognition Occurrence During Answer Induced Task
    Shimazu, Kohei
    Kurimoto, Ikusaburo
    2022 61ST ANNUAL CONFERENCE OF THE SOCIETY OF INSTRUMENT AND CONTROL ENGINEERS (SICE), 2022, : 1188 - 1193
  • [43] A ROBUST METHOD TO ESTIMATE THE MAXIMAL LYAPUNOV EXPONENT OF A TIME-SERIES
    KANTZ, H
    PHYSICS LETTERS A, 1994, 185 (01) : 77 - 87
  • [44] Climate time series variability analysis of Islamabad Capital Territory using fractal dimension and Hurst exponent methods
    Khan, Ali
    Hussain, Shahid
    Bakhet, Ahmed
    Anwer, Afshan
    Raza, S. M. Murshid
    Ali, Sajjad
    Zakarya, Mohammed
    JOURNAL OF ATMOSPHERIC AND SOLAR-TERRESTRIAL PHYSICS, 2025, 267
  • [45] Dynamical generalized Hurst exponent as a tool to monitor unstable periods in financial time series
    Morales, Raffaello
    Di Matteo, T.
    Gramatica, Ruggero
    Aste, Tomaso
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2012, 391 (11) : 3180 - 3189
  • [46] TESTING CONSTANCY OF THE HURST EXPONENT OF SOME LONG MEMORY STATIONARY GAUSSIAN TIME SERIES
    Lombard, F.
    Robbertse, J. L.
    SOUTH AFRICAN STATISTICAL JOURNAL, 2012, 46 (02) : 247 - 266
  • [47] Hurst exponent estimation of self-affine time series using quantile graphs
    Campanharo, Andriana S. L. O.
    Ramos, Fernando M.
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2016, 444 : 43 - 48
  • [48] A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series
    Shang, Han Lin
    JOURNAL OF TIME SERIES ECONOMETRICS, 2020, 12 (01)
  • [49] The Hurst exponent and long-time correlation
    Wang, GD
    Antar, G
    Devynck, P
    PHYSICS OF PLASMAS, 2000, 7 (04) : 1181 - 1183