Hurst exponent estimation based on Modified Aggregated Variance Method

被引：1

作者：

Bao Guo-ping ^{[1
]}

Ying Yi-rong ^{[1
]}

机构：

[1] Shanghai Univ, Sch Int Business & Management, Shanghai 201800, Peoples R China

来源：

2006 IEEE INTERNATIONAL CONFERENCE ON SERVICE OPERATIONS AND LOGISTICS, AND INFORMATICS (SOLI 2006), PROCEEDINGS | 2006年

关键词：

R/S analysis; time series; Hurst exponent; Modified Aggregated Variance Method;

D O I：

10.1109/SOLI.2006.234909

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

Hurst exponent is an important index to describe the fractional Brownian motion, many paper got the result based on big data sample. To small sample we designed a Modified Aggregated Variance Method to evaluate the Hurst exponent based on the Aggregated Variance Method. We found that the new method could improve the R-squared when the sample data relatively small.

引用

页码：51 / +

页数：3

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