A practical guide to measuring the Hurst parameter

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.

12 pages, 3 figures, 4 tables

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