• This record comes from PubMed

Spectrum-based estimators of the bivariate Hurst exponent

. 2014 Dec ; 90 (6) : 062802. [epub] 20141202

Language English Country United States Media print-electronic

Document type Journal Article, Research Support, Non-U.S. Gov't

We discuss two alternate spectrum-based estimators of the bivariate Hurst exponent in the power-law cross-correlations setting, the cross-periodogram and local X-Whittle estimators, as generalizations of their univariate counterparts. As the spectrum-based estimators are dependent on a part of the spectrum taken into consideration during estimation, a simulation study showing performance of the estimators under varying bandwidth parameter as well as correlation between processes and their specification is provided as well. These estimators are less biased than the already existent averaged periodogram estimator, which, however, has slightly lower variance. The spectrum-based estimators can serve as a good complement to the popular time domain estimators.

References provided by Crossref.org

Newest 20 citations...

See more in
Medvik | PubMed

Short-time fractal analysis of biological autoluminescence

. 2019 ; 14 (7) : e0214427. [epub] 20190726

Find record

Citation metrics

Loading data ...

Archiving options

Loading data ...