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Keyword

Hurst parameter estimation

Description: Statistical methods for estimating the Hurst parameter, which characterizes long-range dependence or scaling behavior in time series and stochastic processes.
OpenAlex ID: keywords/hurst-exponent-estimation
Gaussian Semiparametric Estimation of Long Range Dependence
1995 · P. M. Robinson · The Annals of Statistics · 1,472
Wavelet analysis of long-range-dependent traffic
1998 · P. Abry, D. Veitch · IEEE Transactions on Information Theory · 955
Fast, approximate synthesis of fractional Gaussian noise for generating self-similar network traffic
1997 · Vern Paxson · ACM SIGCOMM Computer Communication Review · 421
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Estimating long range dependence: finite sample properties and confidence intervals
2001 · Weron, Rafal · arXiv (Cornell University) · 409
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Fractional Brownian Motion: A Maximum Likelihood Estimator and Its Application to Image Texture
1986 · Torbjorn Lundahl, William J. Ohley, et al. · IEEE Transactions on Medical Imaging · 348
Fractal analyses for ‘short’ time series: A re-assessment of classical methods
2006 · Didier Delignieres, Sofiane Ramdani, et al. · Journal of Mathematical Psychology · 326
Empirical Mode Decompositions as Data-driven Wavelet-like Expansions
2004 · PATRICK FLANDRIN, PAULO GONÇALVÈS · International Journal of Wavelets Multiresolution and Information Processing · 302
Physiological time series: distinguishing fractal noises from motions
2000 · A. Eke, P. Hermán, et al. · Pflügers Archiv - European Journal of Physiology · 301
On Hurst exponent estimation under heavy-tailed distributions
2010 · Jozef Barunik, Ladislav Kristoufek · Physica A Statistical Mechanics and its Applications · 274
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Establishing the relation between detrended fluctuation analysis and power spectral density analysis for stochastic processes
2000 · C. Heneghan, G. McDarby · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 254
Single-Particle Diffusion Characterization by Deep Learning
2019 · Naor Granik, Lucien E. Weiss, et al. · Biophysical Journal · 200
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Comparing the performance of FA, DFA and DMA using different synthetic long-range correlated time series
2012 · Ying-Hui Shao, Gao-Feng Gu, et al. · Scientific Reports · 178
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Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
1997 · Vadim Teverovsky, Murad Taqqu · Journal of Time Series Analysis · 154
Estimation of Hurst exponent revisited
2006 · J. Mielniczuk, P. Wojdyłło · Computational Statistics & Data Analysis · 151
A practical guide to measuring the Hurst parameter
2006 · Clegg, Richard G. · arXiv (Cornell University) · 147
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Long‐range Dependence: Revisiting Aggregation with Wavelets
1998 · Patrice Abry, Darryl Veitch, et al. · Journal of Time Series Analysis · 147
Fast approximation of self-similar network traffic
1995 · Vern Paxson · University of North Texas Digital Library (University of North Texas) · 136
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Use and misuse of some Hurst parameter estimators applied to stationary and non-stationary financial time series
2010 · Francesco Serinaldi · Physica A Statistical Mechanics and its Applications · 132
Power variation of some integral fractional processes
2006 · José Manuel Corcuera, David Nualart, et al. · Bernoulli · 109
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On the wavelet spectrum diagnostic for Hurst parameter estimation in the analysis of Internet traffic
2005 · Stilian Stoev, Murad S. Taqqu, et al. · Computer Networks · 109
nth-order fractional Brownian motion and fractional Gaussian noises
2001 · E. Perrin, R. Harba, et al. · IEEE Transactions on Signal Processing · 101
Wavelet-Generalized Least Squares: A New BLU Estimator of Linear Regression Models with 1/f Errors
2002 · M.J. Fadili, E.T. Bullmore · NeuroImage · 99
Long-range dependence: now you see it, now you don't!
2003 · T. Karagiannis, M. Faloutsos, et al. · IEEE Global Telecommunications Conference (GLOBECOM) · 96
Real-time estimation of the parameters of long-range dependence
2000 · R. Roughan, D. Veitch, et al. · IEEE/ACM Transactions on Networking · 88
Performance of a high-dimensional method for Hurst exponent estimation
2008 · Jose Alvarez-Ramirez, Juan C. Echeverria, et al. · Physica A Statistical Mechanics and its Applications · 87
Works count: 932
Citation count: 12,610
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