A practical guide to measuring the Hurst parameter

By Richard G. Clegg. 2006

184 citations recorded by the source corpus.

This paper describes, in detail, techniques for measuring the Hurst parameter. Measurements are given on artificial data both in a raw form and corrupted in various ways to check the robustness of the tools in question. Measurements are also given on real data, both new data sets and well-studied data sets. All data and tools used are freely available for download along with simple ``recipes'' which any researcher can follow to replicate these measurements.

Subfields: Economics and Econometrics, Finance, Signal Processing

View Paper: https://www.semanticscholar.org/paper/54322c77d1aaedbf9b7b606bd864a59f0eb8d91f

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In Economics and Econometrics

1. Frederic Paik Schoenberg
2. Giada Adelfio
3. Yongtao Guan
4. Rasmus Waagepetersen

In Finance

1. Frederic Paik Schoenberg
2. Giada Adelfio

In Signal Processing

1. Frederic Paik Schoenberg
2. Giada Adelfio

Citations in the corpus

• Point process diagnostics based on weighted second-order statistics and their asymptotic properties (2009, background): “The log–log plot of R/S versus δ should have a constant slope H as δ becomes large and this slope is named H -constant or Hurst’s number (Clegg 2006).”