Results 41 to 50 of about 246,619 (220)
HURST EXPONENTS AND DELAMPERTIZED FRACTIONAL BROWNIAN MOTIONS [PDF]
International Journal of Theoretical and Applied Finance, 2019 The inverse Lamperti transform of a fractional Brownian motion (fBm) is a stationary process. We determine the empirical Hurst exponent of such a composite process with the help of a regression of the log absolute moments of its increments, at various scales, on the corresponding log scales.
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Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents? [PDF]
Physica A: Statistical Mechanics and its Applications, 2015 In this note, we investigate possible relationships between the bivariate Hurst exponent $H_{xy}$ and an average of the separate Hurst exponents $\frac{1}{2}(H_x+H_y)$. We show that two cases are well theoretically founded. These are the cases when $H_{xy}=\frac{1}{2}(H_x+H_y)$ and $H_{xy}\frac{1}{2}(H_x+H_y)$ is not possible regardless of stationarity
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Searching for long memory effects in time series of central Europe stock market indices
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2008 This article deals with one of the important parts of applying chaos theory to financial and capital markets – namely searching for long memory effects in time series of financial instruments.
Luboš Střelec
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On the Estimation Techniques of Hurst exponent [PDF]
Journal of Korea Water Resources Association, 2004 허스트 지수를 산정하기 위하여 기존에 여러 방법론들이 제안되어 왔다. 그러나, 이들 방법론들은 시계열들의 지속성에 대하여 각기 다른 특성들을 보이고 있음을 기존의 연구에서 알 수 있다 따라서 본 연구에서는 수문학에서 주로 이용하고 있는 보정용량, 조정용량, 수정조정용량 방법 이외에 생리학 분야와 전자 분야 등에서 이용되고 있는 1/f 파워 스펙트럼 밀도 분석, DFA, AVT 방법, 최우도법 등을 이용하여 허스트 지수를 산정하여 보았다. 즉, 단기간과 장기간 기억을 가진 카오스와 추계학적 시계열들에 대하여 각각의 방법들을 적용하여 비교 분석하고자 하였으며, 각 방법론들에 대한 장점 및 단점 그리고 한계에 대하여 논의하였다 ...
Byung-Sik Kim +2 more
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A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series [PDF]
, 2020 The Hurst exponent is the simplest numerical summary of self-similar long-range dependent stochastic processes. We consider the estimation of Hurst exponent in long-range dependent curve time series.
H. Shang
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INTERPRETATION OF VIBRATION SIGNALS OF COMPLEX ROTOR SYSTEM BASED ON FRACTAL ANALYSIS
Авіаційно-космічна техніка та технологія, 2019 The work analyzes vibration signals obtained by simulating a turbine of a complex rotor system, for example, an aviation gas turbine engine, under conditions of stationary and non-stationary excitations. Four modes of vibration excitation are considered:
Надія Іванівна Бурау +1 more
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Geophysical Research Letters, 2001 Analysis of the Nile river level height time series enabled Harold Edwin Hurst to derive an empirical tH (H > 0.5) law. Reanalysis of the data shows that the result may cause some misunderstanding in using the terms persistence and antipersistence to characterize the series' governing process.
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Monitoring Pipeline Leaks Using Fractal Analysis of Acoustic Signals
Fractal and FractionalThis paper proposes a method for searching for pipeline leaks by analyzing the Hurst exponent of acoustic signals. The investigations conducted on the laboratory setup and the current pipelines of the water supply system.
Ayrat Zagretdinov +5 more
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Estimation of the Hurst Parameter in Spot Volatility
Mathematics, 2022 This paper contributes in three stages in a logic of the cognitive process: we firstly propose a new estimation of Hurst exponent by changing frequency method which is purely mathematical.
Yicun Li, Yuanyang Teng
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Oikos, EarlyView.The response of dispersers to landscape changes depends on both external environmental conditions and individual internal conditions, as well as movement and orientation abilities. Plasticity in habitat selection may also affect how individuals respond to landscape changes.
Érika Garcez da Rocha +4 more
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