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IEICE Trans

Keyword : variance estimator

An Efficient Variance Estimator for the Hurst Exponent of Discrete-Time Fractional Gaussian Noise
Yen-Ching CHANG Liang-Hwa CHEN Li-Chun LAI Chun-Ming CHANG 
Publication:   IEICE TRANSACTIONS on Fundamentals of Electronics, Communications and Computer Sciences
Publication Date: 2012/09/01
Vol. E95-A  No. 9 ; pp. 1506-1511
Type of Manuscript:  PAPER
Category: Digital Signal Processing
Keyword: 
discrete-time fractional Brownian motion, discrete-time fractional Gaussian noise, Hurst exponent, variance estimator, 
 Summary | Full Text:PDF