Robust estimation of the Hurst parameter and selection of an onset scaling

  title={Robust estimation of the Hurst parameter and selection of an onset scaling},
  author={Juhyun Park and Cheolwoo Park},
We consider the problem of estimating the Hurst parameter for longrange dependent processes using wavelets. Wavelet techniques have been shown to effectively exploit the asymptotic linear relationship that forms the basis of constructing an estimator. However, it has been noticed that the commonly adopted standard wavelet estimator is vulnerable to various non-stationary phenomena that increasingly occur in practice, and thus leads to unreliable results. In this paper, we propose a new wavelet… CONTINUE READING


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