A spectral clustering-type algorithm for the consistent estimation of the Hurst distribution in moderately high dimensions
中等高维下稳健估计 Hurst 分布的谱聚类型算法
Scale invariance (fractality) is a prominent feature of the large-scale behavior of many stochastic systems. In this work, we construct an algorithm for the statistical identification of the Hurst distribution (in particular, the scaling exponents) undergirding a high-dimensional fractal system. The algorithm is based on wavelet random matrices, modified spectral clustering and a model selection step for picking the value of the clustering precision hyperparameter. In a…