Hurst exponent and its applications in time-series analysis

被引：0
|
作者：
Resta, Marina [1 ]
机构：
[1] School of Economics, University of Genova, Genova, P.O. Box 16126
来源：
Recent Patents on Computer Science | 2012年 / 5卷 / 03期
关键词：
Hurst exponent; Long-range dependence; Time-series analysis;
D O I：
10.2174/2213275911205030211
中图分类号：
学科分类号：
摘要：
The Hurst exponent is an index of fundamental importance in the analysis of the long range dependence features of observable time-series. As such, it has been estimated and analyzed in an astonishing number of physical systems. Over the time, various estimation methods as well as generalizations have been suggested and discussed: we therein judge straightforward to review the most important ones. In addition, we offer some insights on recent literature evolution and on patents that address practical implementation of the Hurst exponent. © 2012 Bentham Science Publishers.
引用
收藏
页码：211 / 219
页数：8
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