A Fault Diagnosis Scheme Using Hurst Exponent for Metal Particle Faults in GIL/GIS. [PDF]
Sensors (Basel), 2022 Duan D, Ma H, Yan Y, Yang Q.
europepmc +1 more source
Riemann–Liouville fractional Brownian motion with random Hurst exponent
Chaos: An Interdisciplinary Journal of Nonlinear ScienceWe examine two stochastic processes with random parameters, which in their basic versions (i.e., when the parameters are fixed) are Gaussian and display long-range dependence and anomalous diffusion behavior, characterized by the Hurst exponent. Our motivation comes from biological experiments, which show that the basic models are inadequate for ...
Hubert Woszczek +2 more
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Evaluation of genome similarities using a wavelet-domain approach
Revista da Sociedade Brasileira de Medicina TropicalINTRODUCTION: Tuberculosis is listed among the top 10 causes of deaths worldwide. The resistant strains causing this disease have been considered to be responsible for public health emergencies and health security threats.
Leila Maria Ferreira +2 more
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Modeling Predictability of Traffic Counts at Signalised Intersections Using Hurst Exponent. [PDF]
Entropy (Basel), 2021 Chand S.
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Group-wise herding behavior in financial markets: an agent-based modeling approach.
PLoS ONE, 2014 In this paper, we shed light on the dynamic characteristics of rational group behaviors and the relationship between monetary policy and economic units in the financial market by using an agent-based model (ABM), the Hurst exponent, and the Shannon ...
Minsung Kim, Minki Kim
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Efficiently Implementing the Maximum Likelihood Estimator for Hurst Exponent [PDF]
Mathematical Problems in Engineering, 2014 This paper aims to efficiently implement the maximum likelihood estimator (MLE) for Hurst exponent, a vital parameter embedded in the process of fractional Brownian motion (FBM) or fractional Gaussian noise (FGN), via a combination of the Levinson algorithm and Cholesky decomposition.
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Classical and modified rescaled range analysis: Sampling properties under heavy tails [PDF]
Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range.
Ladislav Kristoufek
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Assessment of the state of the computer system based on the hurst exponent [PDF]
, 2017 The method of identifying abnormal behavior of computer systems based on the Hurst exponent is examined in this report. Results of the research suggest the possibility of using the Hurst exponent for identifying the anomalous behavior of computer systems
Chelak, Viktor +2 more
core
Self-organization of value and demand
, 2000 We study the dynamics of exchange value in a system composed of many interacting agents. The simple model we propose exhibits cooperative emergence and collapse of global value for individual goods.
Akgiray +17 more
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Martingales, the efficient market hypothesis, and spurious stylized facts [PDF]
, 2007 The condition for stationary increments, not scaling, detemines long time pair autocorrelations. An incorrect assumption of stationary increments generates spurious stylized facts, fat tails and a Hurst exponent Hs=1/2, when the increments are ...
Bassler, Kevin E. +2 more
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