A fast estimation algorithm on the Hurst parameter of discrete-time fractional Brownian motion.
Yen-Ching ChangShyang ChangPublished in: IEEE Trans. Signal Process. (2002)
Keyphrases
- estimation algorithm
- fractional brownian motion
- long range
- non stationary
- parameters estimation
- fractal dimension
- long range dependence
- computationally efficient
- maximum likelihood
- financial markets
- random fields
- fusion model
- stochastic differential equations
- stock market
- multiresolution
- bayesian networks
- similarity measure