Bayesian estimation of the self-similarity exponent of the Nile River fluctuation
- 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.
| Author details: | Sabah Benmehdi, Natallia Makarava, N. Benhamidouche, Matthias HolschneiderORCiDGND |
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| DOI: | https://doi.org/10.5194/npg-18-441-2011 |
| ISSN: | 1023-5809 |
| Title of parent work (English): | Nonlinear processes in geophysics |
| Publisher: | Copernicus |
| Place of publishing: | Göttingen |
| Publication type: | Article |
| Language: | English |
| Year of first publication: | 2011 |
| Publication year: | 2011 |
| Release date: | 2017/03/26 |
| Volume: | 18 |
| Issue: | 3 |
| Number of pages: | 6 |
| First page: | 441 |
| Last Page: | 446 |
| Organizational units: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Geowissenschaften |
| Peer review: | Referiert |
| Publishing method: | Open Access |
