On the features of Hurst Exponent estimates of the Fractional Brownian motion calculated by the R/S-analysis

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 Lmin, Lmax. It is found that the estimation of the Hurst exponent coinciding with its corresponding value is us...

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Published in:IOP conference series. Materials Science and Engineering 2021-02, Vol.1047 (1), p.12018
Main Authors: Ponomareva, O, Porshnev, S, Solomakha, E
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Language:English
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Brownian motion
Complex systems
Exponents
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description 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 Lmin, Lmax. 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 Lmax=Lmax〈true〉. Otherwise, Hurst Exponent Estimate H depending on the value Lmax 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.
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subjects Brownian motion
Complex systems
Exponents
title On the features of Hurst Exponent estimates of the Fractional Brownian motion calculated by the R/S-analysis
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