Abstract
Chapter 3 deals with the constant-order fractional processes and the Hurst parameter estimators evaluation. A fractional process with a constant long memory parameter can be regarded as the output signal of a fractional-order system driven by white Gaussian noise. Typical constant-order fractional processes including fractional Brownian motion, fractional Gaussian noise, fractional stable motion, and fractional stable noise. A constant-order fractional process can be characterized by its long memory parameter H, the Hurst parameter or Hurst exponent. In this chapter, long-range dependent processes and Hurst parameter estimators are introduced. Furthermore, the robustness and the accuracy of twelve Hurst parameter estimators are extensively studied.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
