Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates (Q2147882)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates |
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Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates (English)
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20 June 2022
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multifractional Brownian motion
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Hurst exponent
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Euler-Lagrange equation
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non-parametric smoothing
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foreign exchange forecast
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