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?
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