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Volume 5: 6th International Conference on Multibody Systems, Nonlinear Dynamics, and Control, Parts A, B, and C
A fractional Fourier transform (FrFT) based estimation method is introduced in this paper to analyze the long range dependence (LRD) in time series. The degree of LRD can be characterized by the Hurst parameter. The FrFTbased estimation of Hurst parameter proposed in this paper can be implemented efficiently allowing very large data set. We used fractional Gaussian noises (FGN) which typically possesses long-range dependence with known Hurst parameters to test the accuracy of the proposed Hurstdoi:10.1115/detc2007-34242 fatcat:kl56lezbnvgvtdy4gzs27llzcy