descriptionPublicationkeyboard_double_arrow_right Article 01 May 2007 English Publisher:Elsevier BVJournal:Computational Statistics & Data Analysis, volume 51, pages 4,510-4,525 (issn: 0167-9473,

Authors: Mielniczuk, J.; Wojdyłło, P.;

doi: 10.1016/j.csda.2006.07.033

Estimation of Hurst exponent revisited

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Abstract

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Keywords

Time series, auto-correlation, regression, etc. in statistics (GARCH), Numerical methods for wavelets, Point estimation, long-range dependence, scaling property, wavelet estimator, detrended fluctuation analysis (DFA) estimator, Nonparametric estimation, rescaled adjusted range statistic (R/S)

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