Odhady Hurstova indexu
| Thesis title in Czech: | Odhady Hurstova indexu |
|---|---|
| Thesis title in English: | Estimation of Hurst index |
| Key words: | Hurstův parameter|Odhady parametrů |
| English key words: | Hurst index|Parameter estimation |
| Academic year of topic announcement: | 2025/2026 |
| Thesis type: | Bachelor's thesis |
| Thesis language: | |
| Department: | Department of Probability and Mathematical Statistics (32-KPMS) |
| Supervisor: | RNDr. Petr Čoupek, Ph.D. |
| Author: |
| Guidelines |
| Student/ka podá přehled metod pro odhad parametru soběpodobnosti (Hurstův index) v časových řadách a vybrané metody porovná. Předpokládaným výstupem je práce přehledového (kompilačního) charakteru. |
| References |
| [1] Mandelbrot, B. B.; Wallis, J. R. (1969). Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence. Water Resources Research. 5 (5): 967–988.
[2] Kantelhardt, J.W.; et al. (2001). Detecting long-range correlations with detrended fluctuation analysis. Physica A. 295 (3–4): 441–454. [3] Simonsen, I.; Hansen, A., Nes, O. M. (1998). Determination of the Hurst exponent by use of wavelet transforms. Physical Review E. 58 (3): 2779–2787. [4] Robinson, P. M. (1995). Gaussian semiparametric estimation of long-range dependence. The Annals of Statistics. 23 (5): 1630–1661. [5] Beran, J. Statistics For Long-Memory Processes. Chapman and Hall, 1994. |