Using Digital Filtration for Hurst Parameter Estimation

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

• Self-similarity
• Hurst parameter
• autocorrelation function
• fractional Gaussian noise.