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• W2955734110 abstract "We present an algorithm to estimate the Hurst parameter, H, in processes with mixed spectra. We focus on the two most studied Gaussian Long-Range Dependent (GLRD) processes: fractional Gaussian noise, fGn(H), and fractional integrated, FI(H), with Gaussian innovations. Our method consists in the decomposition of signal and noise components of the processes under analysis: first, we use harmonic analysis for detection of line components; second, we remove the line components mixed with the GLRD using information from their amplitudes iteratively; and finally, we use a robust method for the estimation of the LRD parameter, H. We apply the method to synthetic periodic time series, and numerical results are presented. The technique is applied to stock-market trading volume time series." @default.
• W2955734110 created "2019-07-12" @default.
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• W2955734110 date "2019-06-01" @default.
• W2955734110 modified "2023-09-23" @default.
• W2955734110 title "Long-Range Dependence Parameter Estimation For Mixed Spectra Gaussian Processes" @default.
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• W2955734110 doi "https://doi.org/10.1109/dsw.2019.8755562" @default.
• W2955734110 hasPublicationYear "2019" @default.
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