A Proposal for Real Time Hurst Parameter Derivation

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概要

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• In case we intend to make use of Hurst parameter H in real time, fast derivation of H becomes a practical requirement. We propose an algorithm to reduce the calculation cost of the cumulative range in an R/S analysis. By installing our algorithm we could reduce the H derivation time less than one second at reasonable data sizes, which provides real time applicability.

著者

• IWAYA Yukio

  Research Institute of Electrical Communication, Tohoku University

• Iwaya Yukio

  Research Institute Of Electrical Communication And Graduate School Of Information Sciences Tohoku Un

• Sakata Masato

  Department Of Electrical And Electronic Engineering Akita University

• Kinoshita Tetsuo

  Information Synergy Center Tohoku University

• Igarashi Ryuji

  Department Of Electronic Engineering Akita University

• Takahashi Akinori

  Department Of Chemistry Gakushuin University

• Ueda Hiroshi

  Library and Information Technology Center, Gunma University

• Nasuno Yutaka

  Japan Telecom Corporation

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