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

DOI10.1063/1.4967390zbMath1378.62126OpenAlexW2549831682WikidataQ50541009 ScholiaQ50541009MaRDI QIDQ4601375

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)

Cites Work

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