Comparison of hurst exponent estimation methods
Other Title(s)
مقارنة أساليب تقدير أس هارست
Joint Authors
Hamzah, Amjad Hibat Allah
Hammud, Munaf Yusuf
Source
Journal of Economics and Administrative Science
Issue
Vol. 27, Issue 128 (30 Jun. 2021), pp.167-183, 17 p.
Publisher
University of Baghdad College of Administration and Economics
Publication Date
2021-06-30
Country of Publication
Iraq
No. of Pages
17
Main Subjects
Economics & Business Administration
Topics
Abstract AR
طور العديد من الباحثين خلال السنوات الأخيرة طرقًا لتقدير معامل التشابه الذاتي والذاكرة الطويلة التي اشتهرت باسم معلمة هارست.
في هذا البحث ، قمنا بإجراء مقارنة بين تسع طرق مختلفة يستخدم معظمها منحدر الانحرافات للعثور على تقدير لمعامل Hurst مثل نطاق Rescaled R / S)) و Aggregate Variance AV)) (Absolute moments AM) وبعضها يعتمد على تقنية الترشيح مثل (Discrete Variations DV) ، و (Variance versus level using wavelet VVL) و (Second order derivative using discrete wavelet SODDW) وقد تم اجراء المقارنة باستخدام دراسة المحاكاة للعثور على الطريقة الأكثر كفاءة من خلال MASE.
أظهرت نتائج تجارب المحاكاة أن أداء الطرق قريب نسبيًا باستثناء طريقة SODDW كانت الأكثر كفاءة في MASE
Abstract EN
Through recent years many researchers have developed methods to estimate the self-similarity and long memory parameter that is best known as the Hurst parameter.
In this paper, we set a comparison between nine different methods.
Most of them use the deviations slope to find an estimate for the Hurst parameter like Rescaled range (R/S), Aggregate Variance (AV), and olute moments (AM), and some depend on filtration technique like Discrete Variations (DV), Variance versus level using wavelets (VVL) and Second-order discrete derivative using wavelets (SODDW) were the comparison set by a simulation study to find the most efficient method through MASE.
The results of simulation experiments were shown that the performance of the methods is relatively close, except for the SODDW method was the most efficient in MASE.
Paper type Categorize your paper under one of these classifications: General review
American Psychological Association (APA)
Hamzah, Amjad Hibat Allah& Hammud, Munaf Yusuf. 2021. Comparison of hurst exponent estimation methods. Journal of Economics and Administrative Science،Vol. 27, no. 128, pp.167-183.
https://search.emarefa.net/detail/BIM-1251130
Modern Language Association (MLA)
Hamzah, Amjad Hibat Allah& Hammud, Munaf Yusuf. Comparison of hurst exponent estimation methods. Journal of Economics and Administrative Science Vol. 27, no. 128 (2021), pp.167-183.
https://search.emarefa.net/detail/BIM-1251130
American Medical Association (AMA)
Hamzah, Amjad Hibat Allah& Hammud, Munaf Yusuf. Comparison of hurst exponent estimation methods. Journal of Economics and Administrative Science. 2021. Vol. 27, no. 128, pp.167-183.
https://search.emarefa.net/detail/BIM-1251130
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 181-182
Record ID
BIM-1251130