This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.

Abstract Details

Activity Number: 196
Type: Contributed
Date/Time: Monday, August 2, 2010 : 10:30 AM to 12:20 PM
Sponsor: Section on Statistical Education
Abstract - #306729
Title: Fractal Analysis of Time Series and Distribution Properties of Hurst Exponent
Author(s): Ferry Butar Butar*+ and Malhar Kale
Companies: Sam Houston State University and Kaiser Permanente
Address: 3657 red bud ln, Huntsville, TX, 77340,
Keywords: Fractal ; Hurst exponent ; rescaled-range ; time series ; goodness of fit test

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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