A practical guide to measuring the Hurst parameter (2006)
| Venue: | 21st UK Performance Engineering Workshop, School of Computing Science Technical Report Series, CSTR-916, University of Newcastle |
| Citations: | 6 - 3 self |
BibTeX
@ARTICLE{Clegg06apractical,
author = {Richard G. Clegg},
title = {A practical guide to measuring the Hurst parameter},
journal = {21st UK Performance Engineering Workshop, School of Computing Science Technical Report Series, CSTR-916, University of Newcastle},
year = {2006},
pages = {43--55}
}
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Abstract
This paper describes, in detail, techniques for measuring the Hurst parameter. Measurements are given on artificial data both in a raw form and corrupted in various ways to check the robustness of the tools in question. Measurements are also given on real data, both new data sets and well-studied data sets. All data and tools used are freely available for download along with simple “recipes” which any researcher can follow to replicate these measurements. 1
