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Estimation of Hurst exponent revisited - MaRDI portal

Estimation of Hurst exponent revisited (Q1020115)

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scientific article; zbMATH DE number 5559567
Language Label Description Also known as
English
Estimation of Hurst exponent revisited
scientific article; zbMATH DE number 5559567

    Statements

    title
    Estimation of Hurst exponent revisited (English)
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    publication date
    29 May 2009
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    zbMATH Keywords
    detrended fluctuation analysis (DFA) estimator
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    long-range dependence
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    rescaled adjusted range statistic (R/S)
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    scaling property
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    wavelet estimator
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    author
    Jan Mielniczuk
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    Piotr Wojdyłło
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    describes a project that uses
    LASS
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    wmtsa
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    cites work
    Q4865042
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    Tests for Hurst effect
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    Q4023965
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    Q3442363
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    Q4488348
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    Identifiers

    Mathematics Subject Classification ID
    62M10
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    62F10
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    65T60
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    62G05
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    zbMATH DE Number
    5559567
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    OpenAlex ID
    W2002006523
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