RATIO OF VARIANCE OF RESIDUALS
This method differs from the other methods presented here in that instead of estimating the long-range dependence parameter H it estimates the parameter alpha characterizing the intensity of heavy tails. The method is based on the Variance of Residuals method. It calculates the Variance of Residuals in two ways, and takes their ratio to obtain a statistic, and then fits a least-squares line to the logarithm of that statistic. This enables one to estimate alpha. The method is explained more fully below.
A more detailed description.
There are several options available for using the ratio method.