Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
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Showing 1 to 20 of 116 for “"Hurst"”.
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Memory Vs Momentum - Exploring Momentum Strategies With The Hurst Exponent
… the Efficient Market Hypothesis, we employ the Hurst exponent to detect the long-term memory existed in the stock return series. A time series with 0 < H < 0.5 shows negative correlations between points and a mean-reverting behavior, while a series with 0.5 < H < 1 indicates positive …
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Fracking freedom: A comparitive analysis of gas drilling in Hurst, Texas
… the Barnett Shale in North Texas and the City of Hurst, Texas, as the City Council considered approving gas drilling permits inside their city limits.
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Transient wave propagation on random fields with fractal and Hurst effects
… that can simulate random fields with fractal and Hurst characteristics. Not only can fractal and Hurst characteristics be captured with these models, but they are decoupled. We evaluate the impact of these random fields on linear and nonlinear wave propagation using cellular automata, a local …
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Impact force and moment problems on random fields with fractal and hurst effects
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2022-04-06 without embargo terms
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Calibrating the Hurst Parameter for Rough Volatility Models with Application in the South African Market
… model proposed by El Euch et al. (2019), the Hurst parameter governs the roughness of the volatility process. This dissertation explores the different calibration methods used to obtain an estimate for the Hurst parameter, under the scope of the rough Heston model. Three different calibration …
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A Measure of the Hurst Exponent Variability on Ground Based Magnetometer Data for Quiet and Active Magnetospheric Periods
… approach was used to identify differences in the Hurst exponent of quiet and active events. No statistical differences were found using this approach since both types of events displayed quasirandom walk behavior. A second approach determined the temporal variations in the Hurst exponent for each …
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Creating a terministic screen of "mothering" in Nella Larsen's Passing and Fannie Hurst's Imitation of Life
… of Nella Larsen’s Passing (1929) and Fannie Hurst’s Imitation of Life (1932), critical attention mainly focuses on issues of race, class, or gender. Moreover, in regards to the novels, rhetorical consideration of the term “mothering” and the act of it within the novels garners even less …
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Bayesian estimation of self-similarity exponent
… by self-similarity exponent (in particular Hurst exponent) have been collected in different fields ranging from finance and human sciencies to hydrologic and traffic networks. Such rich classes of possible applications obligates researchers to investigate qualitatively new methods for …
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Fractional stochastic volatility models: approximation, calibration and hedging
… by a fractional Ornstein-Uhlenbeck process with Hurst Index H greater than 1/2. We need to notice that perfect hedging cannot be achieved in non-Markovian fractional volatility framework, and thus we can only study imperfect delta-hedging strategy. We first proved the existence of this strategy …
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On Self-Similar Gaussian Processes
… the sum of a fractional Brownian motion with Hurst parameter HK plus a stochastic process with absolutely continuous trajectories. Some applications of this decomposition are discussed. In the second part we establish a change-of-variable formula for a class of Gaussian processes with a …
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Estimation of LRD present in H.264 video traces using wavelet analysis and proving the paramount of H.264 using OPF technique in wi-fi environment.
… the self-similarity by using the variable called Hurst Parameter. Hurst Parameter tells the researcher about how a data can behave inside the transmitted network. This Hurst Parameter should be calculated for a more reliable transmission in the wireless network. The second part of the research …
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Sparse functional regression models: minimax rates and contamination
… function, which is quantified by a "generalized Hurst exponent". The least squares estimator (LSE) is shown to attain the optimal rate. Also, a lower bound is given on the minimax risk of estimating the parameters in sparse functional GLM, which also depends on the generalized Hurst exponent of …
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Analysis of Ergonomics and Highly Non-linear Dynamics of Surgical Motions and Muscle Activations in Minimally Invasive Surgery
… application of complexity theory (time delay and Hurst exponent principles) to the analysis of phase space reconstructions of time series data, generated by periodic changes in Euler coordinates of surgical graspers while being used by MIS novices and experts. A comparison of Hurst exponent and …
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Detection, identification and localization of R/C electronic devices through their unintended emissions
… devices in a realistic environment. First, a Hurst parameter based detection method for super-regenerative receivers (SRR) has been used for detection. Hurst parameter based detection method exploits a self-similarity property of the SRR receiver emissions to distinguish it from background …
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The use of fractal dimension for texture-based enhancement of aeromagnetic data.
… divider method); • stochastic methods (1D and 2D Hurst methods and 1D and 2D semi-variogram methods), and; • spectral methods (1D and 2D wavelet methods and 1D and 2D Gabor methods). All of these methods are able to differentiate between varying theoretical FD in synthetic profiles. Moreover, …
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STOCHASTIC FUNCTIONAL DIFFERENTIAL EQUATIONS DRIVEN BY FRACTIONAL BROWNIAN MOTION AND THEIR GENERALIZATIONS
… driven by a fractional Brownian motion with Hurst parameter $H>1/2$. We prove an existence and uniqueness result of the solution to the stochastic differential equation. We investigate the dependence of the solution on the initial condition and the existence of finite moments of the solution. …
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U.S. Forest Service policy in northern New Mexico : a case study of the Hassell Report--1967-2000
… Southwest Regional Forester William D. Hurst initiated the study that resulted in the Hassell Report and lead to the subsequent creation of the Region 3 Policy. The Hassell Report was an assessment of the needs of the rural forest-dependent communities and as such, was not based on data …
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Renegotiation based dynamic bandwidth allocation for selfsimilar VBR traffic
… to estimate selfsimilarity level (represented by Hurst parameter) of a VBR traffic trace are empirically investigated, and criteria to select measurement parameters for online resource management are developed. It is shown that wavelet analysis based methods are the strongest tools in estimation …
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Modelling computer network traffic using wavelets and time series analysis
… of a time series model. A comparison of various Hurst estimation techniques is also performed on synthetically generated data. The wavelet-based Abry-Veitch Hurst estimator is found to perform consistly well with respect to its competitors, and the subsequent removal of fractality via fractional …
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