Biases in the Simulation and Analysis of Fractal Processes

Figure 1

Relationship between true and mean estimated α values. Top row: series generated by the DH algorithm; middle row: series generated by SSM; bottom row: series generated by ARFIMA simulation. Left column: estimations performed with DFA; center column: estimations performed with PSD; right column: estimations performed with ARFIMA modeling. Dashed lines represent identity.