A tool for estimating the hurst parameter and for generating self-similar sequences

ABSTRACT

Self-similarity has been found in many natural and artificial processes since it was first noticed in the fifties. Embedding this property into series of numbers or estimating the self-similarity degree of a time series, given by the Hurst parameter, are not straightforward tasks. Because of that, both subjects have been the recipient of several contributions in the past. This paper presents TestH, an under construction library for estimating the Hurst parameter and for generating self-similar sequences. Written in ANSI C, the library provides several methods to estimate the Hurst parameter and to generate self-similar sequences through its application programming interface, hence enabling one to write own program addressing particular problems. Along with the explanation of some of the already implemented algorithms and features, a minimal working example is provided herein.

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