Open AccessOn the features of Hurst Exponent estimates of the Fractional Brownian motion calculated by the R/S-analysis
Author(s) -
О. А. Пономарева,
С. В. Поршнев,
Э В Соломаха
Publication year - 2021
Publication title -
iop conference series. materials science and engineering
Language(s) - English
Resource type - Journals
eISSN - 1757-899X
pISSN - 1757-8981
DOI - 10.1088/1757-899x/1047/1/012018
Subject(s) - hurst exponent , fractional brownian motion , exponent , algorithm , brownian motion , mathematics , statistics , philosophy , linguistics
The article presents the analysis results of the dependence of the accuracy in estimating Hurst exponent of the Fractional Brownian motion by the R/S-analysis towards the method parameters L min , L max . It is found that the estimation of the Hurst exponent coinciding with its corresponding value is used to generate Fractional Brownian H 〈mod〉 motion only when L max = L max 〈 t r u e 〉 . Otherwise, Hurst Exponent Estimate H depending on the value L max varies in the span [0.25; 1.12]. The result obtained points out that it is necessary to critically revise the results of a number of studies where in order to analyze and forecast the dynamics of complex systems of different nature (for example, in economic ones) the authors employed the R/S-evaluation exponents of the Hurst exponent H of the time series (TS), composed of the exponents characterizing the state of the given system at a certain point.