Detrended fluctuation analysis of the Ornstein-Uhlenbeck process: stationarity versus nonstationarity

DOI10.1063/1.4967390MaRDI QIDQ4601375zbMATH OpenOpenAlexWikidataFDO

Authors Zbigniew Czechowski, Luciano Telesca

Publication date 15 January 2018

Published in Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1063/1.4967390

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Diffusion processes (60J60)

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