The rescaled variance statistic and the determination of the Hurst exponent

DOI10.1016/J.MATCOM.2005.06.005MaRDI QIDQ2575901zbMATH OpenOpenAlexFDO

Authors D. O. Cajueiro, Benjamin Miranda Tabak

Publication date 7 December 2005

Published in Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL https://repositorio.ucb.br:9443/jspui/handle/123456789/7551

zbMATH Keywords

Hurst exponentLong range dependence

Mathematics Subject Classification ID

Foundations of time-dependent statistical mechanics (82C03)

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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Fractal characterization of the distribution of reactive sites over a rough catalyst surface
• Fractional differencing
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• Long-Term Memory in Stock Market Prices
• On the fractal dimension of self-affine profiles
• On the power of the KPSS test of stationarity against fractionally-integrated alternatives
• R/S analysis of pluviometric records: comparison with numerical experiments
• THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
• The Modelling of Ethernet Data and of Signals that are Heavy‐tailed with Infinite Variance^*

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(20)

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• MEASURING HURST EXPONENTS WITH THE FIRST RETURN METHOD
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• Time structure of complex systems: a methodical review
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• An accurate algorithm to calculate the Hurst exponent of self-similar processes
• Estimating the Hurst parameter in financial time series via heuristic approaches
• Using the wavelet transform for time series analysis
• Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient
• The asymptotic behavior of the R/S statistic for fractional Brownian motion
• Fractional Brownian motion with random Hurst exponent: accelerating diffusion and persistence transitions
• Fractal time series -- A tutorial review

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