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The sampling properties of Hurst exponent estimates
Physica A: Statistical Mechanics and its Applications, 2007Abstract The classical rescaled adjusted range ( R / S ) statistic is a popular and robust tool for identifying fractal structures and long-term dependence in time-series data. Subsequent to Mandelbrot and Wallis [Water Resour. Res. 4 (1968) 909] who proposed the statistic be measured over several subseries contained within the whole series length ...
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Image based smoke detection with local Hurst exponent
2010 IEEE International Conference on Image Processing, 2010Smoke is an important sign for early fire detection. Image based detection methods are more useful than other methods which use some special sensor devices. When treating image information of smoke, it is important to consider characteristics of smoke. In this study, we consider that the image information of smoke is a self-affine fractal.
Hidenori Maruta +3 more
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HURST EXPONENTS FOR NON-PRECISE DATA
2013We provide a framework for the study of statistical quantities related to the Hurst phenomenon when the data are non-precise with bounded support.
Alvo, Mayer, Theberge, Francois
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Method to Improve Hurst Exponent Estimation
SSRN Electronic Journal, 2013This is a paper on the application of the methods to estimate the Hurst Exponent of Hang Seng Index, Hang Seng China Enterprise Index and Shanghai Composite Index. The methods employed are the Rescaled Range Analysis (Hurst, 1951) and the Geometric Method-based Analysis (Trinidad Segovia, Fernandez-Martinez, Sanchez-Granero, 2012).The question aroused ...
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The Hurst Exponent of Sunspot Counts: A Note
SSRN Electronic Journal, 2016It is shown that the time series of sunspot counts may be represented as the sum of a regular cyclical process and a random Hurst process. In the 2375-month study period 1/1818-11/2015, the optimal cyclical components of mean monthly sunspot counts consist of a short wave function with a period of 131 months and a long wave function in which the ...
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Hurst exponent: A method for characterizing dynamical traps
Physical Review EDynamical trapping occurs when the duration of time spent in specific regions of phase space increases, often associated with stickiness around invariant islands during manifold crossings. This paper introduces the Hurst exponent as a tool to characterize the dynamics of a typical quasiintegrable Hamiltonian system with coexisting regular and chaotic ...
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The Hurst Exponent of Surface Temperature: A Note
SSRN Electronic Journal, 2015High values of the Hurst exponent of H=0.66±0.05 for deseasonalized monthly mean surface temperatures in the sample period 1850-2015 suggest persistence and long term memory in the temperature time series. Such Hurst phenomena have been observed in the stochastic processes of nature in the area of hydrology (Hurst) and also in the proxy record of ...
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The Hurst’s exponent in technical analysis signals
2006The fractal nature of financial data has been investigated through literature. The aim of this paper is to use the information given by the detection of the fractal measure of data in order to provide support for trading decisions when dealing with technical analysis signals that can be used to trigger buy/sell orders.
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Hurst exponent estimation using neural network
International Journal of Computational Science and Engineering, 2022Somenath Mukherjee +3 more
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