The rescaled variance statistic and the determination of the Hurst exponent
Year of publication: |
2005
|
---|---|
Authors: | Cajueiro, Daniel O. ; Tabak, Benjamin M. |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 70.2005, 3, p. 172-179
|
Publisher: |
Elsevier |
Subject: | Hurst exponent | Long range dependence | R/S | V/S |
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