Biases in the Simulation and Analysis of Fractal Processes

Figure 3

Relationship between true α and the variability of estimated α values (standard deviation). 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.