Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient (Q5937005)
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scientific article; zbMATH DE number 1618307
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| English | Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient |
scientific article; zbMATH DE number 1618307 |
Statements
Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient (English)
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12 July 2001
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box-counting method
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self affineness
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self similarity
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fractal dimension
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fractional Brownian motion
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Gaussian process
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long-range dependence
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Monte Carlo
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R-S analysis
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financial markets
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commodity prices
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0.7684110403060913
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0.7651422023773193
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0.7520701885223389
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0.7496896386146545
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