An Experiment on the Hurst Exponent based on FARIMA

被引：0

作者：

Pu, Chen ^{[1
]}

Ni, Li ^{[2
]}

Jie, Xu ^{[1
]}

Ting, Zhao ^{[1
]}

Chen, Liu ^{[3
,4
]}

机构：

[1] State Grid Hubei Elect Power Co, Wuhan, Hubei, Peoples R China

[2] PowerChina Hubei Elect Engn Corp, Wuhan, Hubei, Peoples R China

[3] Beijing Univ Posts & Telecommun, Sch Informat & Commun Engn, Beijing, Peoples R China

[4] Beijing Chuang Ming Technol Co Ltd, Beijing, Peoples R China

来源：

PROCEEDINGS OF THE 2017 5TH INTERNATIONAL CONFERENCE ON MACHINERY, MATERIALS AND COMPUTING TECHNOLOGY (ICMMCT 2017) | 2017年 / 126卷

关键词：

Long-range Dependence; FARIMA Model; Hurst Exponent;

D O I：

暂无

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

Based on the theory of time series analysis for the definition of FARIMA model, we generate time seriesin accordance with the FARIMA model, and measure its Hurst exponent and fractal order by using R/S analysis method. The experimental results show that the Hurst exponent used to generate the series has difference from the Hurst exponent of the real sequence measured by using R/S analysis. The further analysis indicate that, the noise types and the estimation of negative time-series data series length both have effect on the deviation.

引用

页码：1212 / 1218

页数：7

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