Comparison of various estimators in simulated FGN

Abstract

The Hurst parameter is the simplest numerical characteristic of self-similar long-range depebdent stochastic processes. Such processes have been identified in may natural ans man-made systems. In particular, since they were discovered in the Inthernet and other multimedia telecommunication networks a decade ago, they have been the subject of numerous investigations. Typical quantitative assessment of self-similarity and long-range dependency, begins with the estimation od the Hurst parameter H.