Evaluating scaled windowed variance methods for estimating the Hurst coefficient of time series

Physica A: Statistical Mechanics and its Applications

Volumn 241, Issue 3-4, 1997, Pages 606-626

  Cannon, Michael J ^a   Percival, Donald B ^a   Caccia, David C ^a   Raymond, Gary M ^b   Bassingthwaighte, James B ^b  

^a UNIVERSITY OF WASHINGTON   (United States)

^b University of Washington   (United States)

Author keywords

Autocorrelation; Covariance; Dispersional analysis; Fractals; Fractional Brownian motion; Fractional Gaussian noise; Long memory processes

Indexed keywords

CORRELATION METHODS; FRACTALS; REGRESSION ANALYSIS; SPURIOUS SIGNAL NOISE;

HURST COEFFICIENT; LONG MEMORY PROCESSES; VARIANCE METHODS;

TIME SERIES ANALYSIS;

EID: 0031177376     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(97)00252-5     Document Type: Article

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