Elimination of the methodological error in estimating the Hurst index, which occurs due to the small volume of samples

Title	Elimination of the methodological error in estimating the Hurst index, which occurs due to the small volume of samples
Authors	A. I. Ivanov¹, D. V. Tarasov² ¹Penza Scientific Research Electrotechnical Institute ²Penza State University
Annotation	Currently, the Hearst indicator is quite easily interpreted in relation to biometric, medical and economic data, but it is customary to evaluate it on large samples. The aim of the work is to neutralize the methodological error that occurs due to insufficient amount of initial data. The paper uses the connection of the Hurst exponent with autocorrelation functionals. It is proposed to calculate the additive methodological error in advance by means of simulation modeling and eliminate it for each sample. The relationship between the value of the additive methodological error in estimating the Hurst index and the size of small samples in the range from 20 to 80 experiments was obtained. This makes it possible to increase the accuracy of estimates by correcting the additive methodological error.
Keywords	white noise, Hearst index, small samples, biometric data, methodological error.
Citation	Ivanov A. I., Tarasov D. V. ''Elimination of the methodological error in estimating the Hurst index, which occurs due to the small volume of samples'' [Electronic resource]. Proceedings of the International Scientific Youth School-Seminar "Mathematical Modeling, Numerical Methods and Software complexes" named after E.V. Voskresensky (Saransk, July 26-28, 2024). Saransk: SVMO Publ, 2024. - pp. 70-75. Available at: https://conf.svmo.ru/files/2024/papers/paper11.pdf. - Date of access: 16.10.2024.

PROCEEDINGS OF THE SCIENTIFIC CONFERENCES AND SCHOOL-SEMINARS

Elimination of the methodological error in estimating the Hurst index, which occurs due to the small volume of samples

Contacts