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

DOI10.1016/J.PHYSA.2021.126690OpenAlexW4200100144MaRDI QIDQ2669321FDOQ2669321

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

Cited In (1)

• Deep learning-based parameter estimation of stochastic differential equations driven by fractional Brownian motions with measurement noise

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