An entropy-based estimator of the Hurst exponent in fractional Brownian motion

DOI10.1016/J.PHYSA.2021.126690MaRDI QIDQ2669321zbMATH OpenOpenAlexFDO

Authors Narges Zeinali, A. Pourdarvish

Publication date 9 March 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2021.126690

zbMATH Keywords

fractional Brownian motionHurst exponentlong-term memorygeneralized entropies

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• Fractional Brownian Motions, Fractional Noises and Applications
• Fractional Brownian motion: difference iterative forecasting models
• Generalized (c,d)-entropy and aging random walks
• Long-Term Memory in Stock Market Prices
• Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory

Cited in

(2)

• Deep learning-based parameter estimation of stochastic differential equations driven by fractional Brownian motions with measurement noise
• Fractional Brownian motion for modeling phylogenetic trait evolution: a computational framework for long-term dependencies

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