Displaying 1 result from an estimated 1 matches for "mach1317".
2007 Jan 10
3
Fractional brownian motion
Dear All;
I have used fbmSim to simulate a fbm sequence, however, when I tried to
estimate the Hurst effect, none of the nine procedures gave me an answer
close enough to the real value, which is 0.5 (n=1000). So, would you please
advice,
1. which is the best method to estimate the H among the 9 mehods, R/S,
higuchi or Whittle?
2. how to choose the levels (default=50), minnpts, cutoff values or