McCauley, Joseph L.; Gunaratne, Gemunu H.; Bassler, Kevin E. - Volkswirtschaftliche Fakultät, … - 2006
There is much confusion in the literature over Hurst exponents. Recently, we took a step in the direction of eliminating some of the confusion. One purpose of this paper is to illustrate the difference between fBm on the one hand and Gaussian Markov processes where H≠1/2 on the other. The...