A proposal for real time hurst parameter derivation

Ryuji Igarashi; Akinori Takahashi; Hiroshi Ueda; Yutaka Nasuno; Yukio Iwaya; Masato Sakata; Tetsuo Kinoshita

doi:10.1541/ieejeiss.127.968

A proposal for real time hurst parameter derivation

Ryuji Igarashi, Akinori Takahashi, Hiroshi Ueda, Yutaka Nasuno, Yukio Iwaya, Masato Sakata, Tetsuo Kinoshita

Systems & Software Division

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

In case we intend to make use of Hurst parameter H in real time, fast derivation of H becomes a practical requirement. We propose an algorithm to reduce the calculation cost of the cumulative range in an R/S analysis. By installing our algorithm we*could reduce the II derivation time less than one second at reasonable data sizes, which provides real time applicability.

Original language	English
Pages (from-to)	968-969
Number of pages	2
Journal	IEEJ Transactions on Electronics, Information and Systems
Volume	127
Issue number	6
DOIs	https://doi.org/10.1541/ieejeiss.127.968
Publication status	Published - 2007

Keywords

Fractional gaussian noise
Hurst parameter
R/S analysis

ASJC Scopus subject areas

Electrical and Electronic Engineering

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10.1541/ieejeiss.127.968

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abstract = "In case we intend to make use of Hurst parameter H in real time, fast derivation of H becomes a practical requirement. We propose an algorithm to reduce the calculation cost of the cumulative range in an R/S analysis. By installing our algorithm we*could reduce the II derivation time less than one second at reasonable data sizes, which provides real time applicability.",

keywords = "Fractional gaussian noise, Hurst parameter, R/S analysis",

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T1 - A proposal for real time hurst parameter derivation

AU - Igarashi, Ryuji

AU - Takahashi, Akinori

AU - Ueda, Hiroshi

AU - Nasuno, Yutaka

AU - Iwaya, Yukio

AU - Sakata, Masato

AU - Kinoshita, Tetsuo

PY - 2007

Y1 - 2007

N2 - In case we intend to make use of Hurst parameter H in real time, fast derivation of H becomes a practical requirement. We propose an algorithm to reduce the calculation cost of the cumulative range in an R/S analysis. By installing our algorithm we*could reduce the II derivation time less than one second at reasonable data sizes, which provides real time applicability.

AB - In case we intend to make use of Hurst parameter H in real time, fast derivation of H becomes a practical requirement. We propose an algorithm to reduce the calculation cost of the cumulative range in an R/S analysis. By installing our algorithm we*could reduce the II derivation time less than one second at reasonable data sizes, which provides real time applicability.

KW - Fractional gaussian noise

KW - Hurst parameter

KW - R/S analysis

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SN - 0385-4221

IS - 6

ER -

A proposal for real time hurst parameter derivation

Abstract

Keywords

ASJC Scopus subject areas

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