An Experiment on the Hurst Exponent based on FARIMA

DOI

10.2991/icmmct-17.2017.237How to use a DOI?

Keywords

Long-range Dependence; FARIMA Model; Hurst Exponent

Abstract

Based on the theory of time series analysis for the definition of FARIMA model, we generate time seriesin accordance with the FARIMA model, and measure its Hurst exponent and fractal order by using R/S analysis method. The experimental results show that the Hurst exponent used to generate the series has difference from the Hurst exponent of the real sequence measured by using R/S analysis. The further analysis indicate that, the noise types and the estimation of negative time-series data series length both have effect on the deviation.

Copyright

© 2017, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Pu Chen
AU  - Ni Li
AU  - Jie Xue
AU  - Ting Zhao
AU  - Chen Liu
PY  - 2017/04
DA  - 2017/04
TI  - An Experiment on the Hurst Exponent based on FARIMA
BT  - Proceedings of the 2017 5th International Conference on Machinery, Materials and Computing Technology (ICMMCT 2017)
PB  - Atlantis Press
SP  - 1212
EP  - 1218
SN  - 2352-5401
UR  - https://doi.org/10.2991/icmmct-17.2017.237
DO  - 10.2991/icmmct-17.2017.237
ID  - Chen2017/04
ER  -