A proposal for real time hurst parameter derivation

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

Research output: Contribution to journalArticlepeer-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 languageEnglish
Pages (from-to)968-969
Number of pages2
JournalIEEJ Transactions on Electronics, Information and Systems
Volume127
Issue number6
DOIs
Publication statusPublished - 2007

Keywords

  • Fractional gaussian noise
  • Hurst parameter
  • R/S analysis

ASJC Scopus subject areas

  • Electrical and Electronic Engineering

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