1
$\begingroup$

I know there exist lots of method to estimate the Hurst parameter, such as R/S, V/S, GHE, DFA, DMA, Wavelet Spectral Density, Whittle and so on. Can you tell me which one is the best one. Is anyone compare these method?

$\endgroup$
1
$\begingroup$

I would say that - from personal experience, when analyzing the stability of the estimates and their oscillatory behavior - the two most robust techniques are the generalized Hurst exponent, and the Wavelet Spectral Density. However, to my best knowledge there is no research that compares the various methodologies - but a few months ago I found a paper about Hurst exponent and multifractality, it might be an interesting read for you: Algorithm to estimate the Hurst exponent of high-dimensional fractals

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.