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An Improved Hurst Parameter Estimator Based on Fractional Fourier Transform

[+] Author Affiliations
YangQuan Chen, Anhong Zhou

Utah State University, Logan, UT

Rongtao Sun

Phase Dynamics, Inc., Richardson, TX

Paper No. DETC2007-34242, pp. 1223-1233; 11 pages
  • ASME 2007 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference
  • Volume 5: 6th International Conference on Multibody Systems, Nonlinear Dynamics, and Control, Parts A, B, and C
  • Las Vegas, Nevada, USA, September 4–7, 2007
  • Conference Sponsors: Design Engineering Division and Computers and Information in Engineering Division
  • ISBN: 0-7918-4806-X | eISBN: 0-7918-3806-4
  • Copyright © 2007 by ASME


A fractional Fourier transform (FrFT) based estimation method is introduced in this paper to analyze the long range dependence (LRD) in time series. The degree of LRD can be characterized by the Hurst parameter. The FrFT-based estimation of Hurst parameter proposed in this paper can be implemented efficiently allowing very large data set. We used fractional Gaussian noises (FGN) which typically possesses long-range dependence with known Hurst parameters to test the accuracy of the proposed Hurst parameter estimator. For justifying the advantage of the proposed estimator, some other existing Hurst parameter estimation methods, such as wavelet-based method and a global estimator based on dispersional analysis, are compared. The proposed estimator can process the very long experimental time series locally to achieve a reliable estimation of the Hurst parameter.

Copyright © 2007 by ASME



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