Abstract
In order to estimate the Hurst exponent of long-range dependent time series numerous estimators such as based e.g. on rescaled range statistic ( R / S ) or detrended fluctuation analysis (DFA) are traditionally employed. Motivated by empirical behaviour of the bias of R / S estimator, its bias-corrected version is proposed. It has smaller mean squared error than DFA and behaves comparably to wavelet estimator for traces of size as large as 2 15 drawn from some commonly considered long-range dependent processes. It is also shown that several variants of R / S and DFA estimators are possible depending on the way they are defined and that they differ greatly in their performance.
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