کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10523659 956800 2005 8 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
The rescaled variance statistic and the determination of the Hurst exponent
موضوعات مرتبط
مهندسی و علوم پایه سایر رشته های مهندسی کنترل و سیستم های مهندسی
پیش نمایش صفحه اول مقاله
The rescaled variance statistic and the determination of the Hurst exponent
چکیده انگلیسی
A major issue in statistical physics literature is the study of the long range dependence phenomenon usually presented in natural, social and financial processes. In particular, a big part of this literature relies on the determination of a parameter known as the Hurst exponent. Although many methods have been proposed to deal with this task, none of them are suitable for any time series and sometimes when applied to the same time series present conflicting results. In this context, this paper presents a new method based on the rescaled variance statistic which can be used efficiently to this end.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Mathematics and Computers in Simulation - Volume 70, Issue 3, 8 November 2005, Pages 172-179
نویسندگان
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