using digital filtration for hurst parameter estimation
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using digital filtration for hurst parameter estimation

;J. Prochaska;R. Vargic
molecular therapy : the journal of the american society of gene therapy 2009 Vol. 18 pp. 238-241
126
prochaska2009radioengineeringusing

Abstract

We present a new method to estimate the Hurst parameter. The method exploits the form of the autocorrelation function for second-order self-similar processes and is based on one-pass digital filtration. We compare the performance and properties of the new method with that of the most common methods.

Keywords

electrical engineering self-similarity electronics nuclear engineering

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