On Hurst exponent estimation under heavy-tailed distributions [PDF]
, 2010 In this paper, we show how the sampling properties of the Hurst exponent methods of estimation change with the presence of heavy tails. We run extensive Monte Carlo simulations to find out how rescaled range analysis (R/S), multifractal detrended ...
Jozef Baruník, Ladislav Krištoufek
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Prediction of the remaining useful life of cutting tool using the Hurst exponent and CNN-LSTM
The International Journal of Advanced Manufacturing Technology, 2021 Xiaoyang Zhang +3 more
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Detection of hemodynamic changes in a porcine lipopolysaccharide model of systemic inflammation using dynamic light scattering measurements of the microcirculation [PDF]
Frontiers in MedicineBackgroundThe microcirculation is affected during sepsis, yet there is currently no clinically available technology for sepsis detection in the microcirculation.
Louwrina H. te Nijenhuis +9 more
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Temporal Lobe Epilepsy Perturbs the Brain‐Wide Excitation‐Inhibition Balance: Associations with Microcircuit Organization, Clinical Parameters, and Cognitive Dysfunction [PDF]
Advanced ScienceExcitation‐inhibition (E/I) imbalance is theorized as a key mechanism in the pathophysiology of epilepsy, with ample research focusing on elucidating its cellular manifestations.
Ke Xie +17 more
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Minimal model of diffusion with time changing Hurst exponent [PDF]
Journal of Physics A: Mathematical and Theoretical, 2023 We introduce the stochastic process of incremental multifractional Brownian motion (IMFBM), which locally behaves like fractional Brownian motion with a given local Hurst exponent and diffusivity.
Jakub Ślęzak, R. Metzler
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Clustering Arid Rangelands Based on NDVI Annual Patterns and Their Persistence
Remote Sensing, 2022 Rangeland ecosystems comprise more than a third of the global land surface, sustaining essential ecosystem services and livelihoods. In Spain, Southeast Spain includes some of the driest regions; accordingly, rangelands from Murcia and Almeria provinces ...
Ernesto Sanz +6 more
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Hurst Exponent Analysis: Evidence from Volatility Indices and the Volatility of Volatility Indices
Journal of Risk and Financial Management, 2023 In this study, we analyze the volatility of volatility indices and estimate the Hurst parameter using data from five international markets. For our analysis, we consider daily data from VIX (CBOE), VXN (CBOE Nasdaq 100), VXD (DJIA), VHSI (HSI), and ...
Georgia Zournatzidou, Christos Floros
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R/S method application in neurological speech disorders analyses [PDF]
Компьютерные исследования и моделирование, 2014 Based on modified rescaled range scale computation algorithm, the technique of Hurst exponent and its characteristic time estimation is proposed. The approach of increase the accuracy and simplification automatic Hurst exponent calculation is developed ...
Nikolay Petrovich Kuzenkov +1 more
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Scaling Exponents of Time Series Data: A Machine Learning Approach
Entropy, 2023 In this study, we present a novel approach to estimating the Hurst exponent of time series data using a variety of machine learning algorithms. The Hurst exponent is a crucial parameter in characterizing long-range dependence in time series, and ...
Sebastian Raubitzek +3 more
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Valve Stiction Detection Method Based on Dynamic Slow Feature Analysis and Hurst Exponent
Processes, 2023 Valve stiction is the most common root of oscillation faults in process control systems, and it can cause the severe deterioration of control performance and system instability, ultimately impacting product quality and process safety.
Linyuan Shang, Yuyu Zhang, Hanyuan Zhang
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