This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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196
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Type:
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Contributed
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Date/Time:
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Monday, August 2, 2010 : 10:30 AM to 12:20 PM
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Sponsor:
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Section on Statistical Education
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| Abstract - #306729 |
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Title:
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Fractal Analysis of Time Series and Distribution Properties of Hurst Exponent
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Author(s):
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Ferry Butar Butar*+ and Malhar Kale
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Companies:
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Sam Houston State University and Kaiser Permanente
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Address:
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3657 red bud ln, Huntsville, TX, 77340,
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Keywords:
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Fractal ;
Hurst exponent ;
rescaled-range ;
time series ;
goodness of fit test
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Abstract:
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Fractal analysis is done by conducting rescaled range (R/S)analysis of time series. The Hurst exponent and the fractal (fractional) dimension of a time series can be estimated with the help of R/S analysis. The Hurst exponent can classify a given time series in terms of whether it is a random, a persistent or an anti-persistent process. Simulation study is run to study the distribution properties of the Hurst exponent using first-order autoregressive process. If time series data are randomly generated from a normal distribution then the estimated Hurst exponents are also normally distributed.
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