Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion (Q2307406)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion |
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Cusum tests for changes in the Hurst exponent and volatility of fractional Brownian motion (English)
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27 March 2020
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change-point test
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cusum
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fractional Brownian motion
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high-frequency data
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Hurst exponent
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sunspot
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