Estimation of the Hurst exponent from noisy data: a Bayesian approach

Natallia Makarava, M. Holschneider

Type: Article

Publication Date: 2012-08-01

Citations: 8

DOI: https://doi.org/10.1140/epjb/e2012-30221-1

View Publication

Locations

The European Physical Journal B - View

Similar Works

Action	Title	Year	Authors
+ PDF Chat	A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework	2022	Matthieu Garcin
+ PDF Chat	On Hurst exponent estimation under heavy-tailed distributions	2010	Jozef Baruník Ladislav Krištoufek
+	Bayesian Estimation of the Variance of a Normal Distribution	2005	Hj Kim Park
+	Bayesian Statistics	2021	Göran Kauermann Helmut Küchenhoff Christian Heumann
+ PDF Chat	Estimation of the Hurst parameter from continuous noisy data	2023	P. Chigansky Marina Kleptsyna
+ PDF Chat	Data analysis: a Bayesian tutorial	1997
+	ESTIMATION OF VARIANCE FROM MISSING DATA	2002	Raghunath Arnab Sarjinder Singh
+	Estimation of the Hurst parameter from continuous noisy data	2022	P. Chigansky M. Kleptsyna
+	Uncertainty analysis for the estimation of the mean from correlated data: Small and large samples	2024	Robin Willink
+ PDF Chat	Introduction: Statistics and Probability	1997	Gordon Antelman Albert Madansky Robert McCulloch
+	Estimation of the variance and its applications	1993	Tatsuya Kubokawa Kenji Morita Shinji Makita K. Nagakura
+	Bayesian Estimation of the Root Mean Square Error of Approximation	2024	James Uanhoro
+	An estimation method of mean that is robust to skewness and long-range dependence	2023	Kyungduk Ko
+ PDF Chat	Maximum entropy on the mean and the Cramér rate function in statistical estimation and inverse problems: properties, models, and algorithms	2025	Yakov Vaisbourd Rustum Choksi Ariel Goodwin Tim Hoheisel Carola‐Bibiane Schönlieb
+	Bayesian Methods for Complex Data: Estimation and Inference	2019	Peter Congdon
+	NOMBAS: a Bayesian procedure for selecting the greatest mean	1982	Alan R. Washburn
+	Bayesian Statistics	2022
+ PDF Chat	Robust estimation of heavy-tailed distributions	2015	Émilien Joly
+	Robust estimation of heavy-tailed distributions	2002	Mia Hubert Jan Beirlant Björn Vandewalle
+	Noise (Statistics)	2005

Works That Cite This (3)

Action	Title	Year	Authors
+ PDF Chat	Fractional Gaussian noise: Prior specification and model comparison	2017	Sigrunn H. Sørbye Håvard Rue
+ PDF Chat	Anomalous diffusion and asymmetric tempering memory in neutrophil chemotaxis	2022	Peter Dieterich Otto Lindemann Mats Leif Moskopp Sébastien Tauzin Anna Huttenlocher Rainer Klages Aleksei V. Chechkin Albrecht Schwab
+	Fractional Gaussian noise: Prior specification and model comparison	2016	Sigrunn H. Sørbye Håvard Rue

Works Cited by This (18)

Action	Title	Year	Authors
+ PDF Chat	Self-similar processes, fractional Brownian motion and statistical inference	2004	Б. Л. С. Пракаса Рао
+	An invariant form for the prior probability in estimation problems	1946	Harold Jeffreys
+	Wavelet Analysis and Synthesis of Stationary Long-Memory Processes	1996	Emma J. McCoy Andrew T. Walden
+ PDF Chat	Random walk models in biology	2008	Edward A. Codling Michael J. Plank Simon Benhamou
+	Long‐range dependence and performance in telecom networks	2004	Pier Luigi Conti Antonio Lijoi Fabrizio Ruggeri
+	Confidence intervals for the long memory parameter based on wavelets and resampling	2008	Pier Luigi Conti Livia De Giovanni Stilian Stoev Murad S. Taqqu
+	The Analysis of Multiple Stationary Time Series	1953	Peter Whittle
+ PDF Chat	Confidence intervals for the Hurst parameter of a fractional Brownian motion based on finite sample size	2011	Jean-Christophe Breton Jean‐François Coeurjolly
+ PDF Chat	Quantifying signals with power-law correlations: A comparative study of detrended fluctuation analysis and detrended moving average techniques	2005	Limei Xu Plamen Ch. Ivanov Kun Hu Zhi Chen A. Carbone H. Eugene Stanley
+ PDF Chat	Multifractal detrended fluctuation analysis of nonstationary time series	2002	Jan W. Kantelhardt Stephan Zschiegner Eva Koscielny–Bunde Shlomo Havlin Armin Bunde H. Eugene Stanley