Please use this identifier to cite or link to this item: http://hdl.handle.net/10995/102760
Title: On the features of Hurst Exponent estimates of the Fractional Brownian motion calculated by the R/S-analysis
Authors: Ponomareva, O.
Porshnev, S.
Solomakha, E.
Issue Date: 2021
Publisher: IOP Publishing Ltd
Citation: Ponomareva O. On the features of Hurst Exponent estimates of the Fractional Brownian motion calculated by the R/S-analysis / O. Ponomareva, S. Porshnev, E. Solomakha. — DOI 10.1088/1757-899X/1047/1/012018 // IOP Conference Series: Materials Science and Engineering. — 2021. — Vol. 1047. — Iss. 1. — 012018.
Abstract: The article presents the analysis results of the dependence of the accuracy in estimating Hurst exponent of the Fractional Brownian motion by the R/S-analysis towards the method parameters Lmin, Lmax . It is found that the estimation of the Hurst exponent coinciding with its corresponding value is used to generate Fractional Brownian Hmod motion only when L max, L. Otherwise, Hurst Exponent Estimate H depending on the value Lmax varies in the span [0.25; 1.12]. The result obtained points out that it is necessary to critically revise the results of a number of studies where in order to analyze and forecast the dynamics of complex systems of different nature (for example, in economic ones) the authors employed the R/S-evaluation exponents of the Hurst exponent H of the time series (TS), composed of the exponents characterizing the state of the given system at a certain point. © Published under licence by IOP Publishing Ltd.
URI: http://hdl.handle.net/10995/102760
Access: info:eu-repo/semantics/openAccess
SCOPUS ID: 85101583717
PURE ID: 21028111
90d89d57-e529-4092-a5bc-04ba73a2a3a6
ISSN: 17578981
DOI: 10.1088/1757-899X/1047/1/012018
Appears in Collections:Научные публикации, проиндексированные в SCOPUS и WoS CC

Files in This Item:
File Description SizeFormat 
2-s2.0-85101583717.pdf864,97 kBAdobe PDFView/Open


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.