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| Titel |
Bayesian estimation of the self-similarity exponent of the Nile River fluctuation |
| VerfasserIn |
S. Benmehdi, N. Makarava, N. Benhamidouche, M. Holschneider |
| Medientyp |
Artikel
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| Sprache |
Englisch
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| ISSN |
1023-5809
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| Digitales Dokument |
URL |
| Erschienen |
In: Nonlinear Processes in Geophysics ; 18, no. 3 ; Nr. 18, no. 3 (2011-06-29), S.441-446 |
| Datensatznummer |
250013929
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| Publikation (Nr.) |
 copernicus.org/npg-18-441-2011.pdf |
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| Zusammenfassung |
| The aim of this paper is to estimate the Hurst parameter of Fractional
Gaussian Noise (FGN) using Bayesian inference. We propose an estimation
technique that takes into account the full correlation structure of this
process. Instead of using the integrated time series and then applying an
estimator for its Hurst exponent, we propose to use the noise signal
directly. As an application we analyze the time series of the Nile River,
where we find a posterior distribution which is compatible with previous
findings. In addition, our technique provides natural error bars for the
Hurst exponent. |
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