The Hurst phenomenon and the rescaled range statistic

DOI10.1016/J.SPA.2016.04.008MaRDI QIDQ335652zbMATH OpenOpenAlexFDO

Authors David M. Mason

Publication date 2 November 2016

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2016.04.008

zbMATH Keywords

subgaussianHurst phenomenonrescaled range statistic

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Strong limit theorems (60F15)

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Cited in

(3)

• scientific article; zbMATH DE number 4096505 (Why is no real title available?)
• R/S analysis of pluviometric records: comparison with numerical experiments
• The discrete Hurst range for skew independent two-valued inflows

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