Comparison and application of estimation of Hurst exponent
Zhao Yanzhon · Computer Engineering and Applications Journal · 2014
At present, there are many methods of analyzing the Hurst exponent of time series in and abroad, but most of them could lead to misunderstanding and disagreement to the estimation of Hurst exponent. This paper describes R/S analysis,wavelet analysis, iterative algorithm estimation and modified Whittle analysis, by the means of numerical simulation, to compare the error of estimation of Hurst exponent that obtained by the above methods. The comparison is made to test and verify Whittle method has the best accuracy and stability.