Hurst parameter under finite second moment and under heavy tails

MaRDI QIDQ4983753zbMATH OpenFDO

Authors Liang Wu

Publication date 26 April 2021

zbMATH Keywords

fractional Brownian motionheavy tailsHurst parameterlong memoryself-similarity

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stable stochastic processes (60G52)

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Cited in

(3)

• The discrete Hurst range for skew independent two-valued inflows
• Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
• Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory

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