Kendziorski, C.M; Bassingthwaighte, J.B; Tonellato, P.J - In: Physica A: Statistical Mechanics and its Applications 273 (1999) 3, pp. 439-451
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficient (H) is evaluated. The Hurst coefficient, with 0.5H1, characterizes long memory time series by quantifying the rate of decay of the autocorrelation function. S-MLE was developed to estimate H...