An Efficient Variance Estimator for the Hurst Exponent of Discrete-Time Fractional Gaussian Noise

Yen-Ching Chang, Liang-Hwa Chen, Li-Chun Lai, Chun-Ming Chang. An Efficient Variance Estimator for the Hurst Exponent of Discrete-Time Fractional Gaussian Noise. IEICE Transactions, 95-A(9):1506-1511, 2012. [doi]

Abstract

Abstract is missing.