| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 975578 | Physica A: Statistical Mechanics and its Applications | 2012 | 9 Pages |
Abstract
⺠Bias and efficiency of R/S and M-R/S analyzed for various distributions. ⺠Eight distributions with independence, SRD and LRD are investigated. ⺠Both estimators are quite robust to distributional properties for i.i.d. series. âºR/S is biased upwards (yet not strongly) for SRD processes. âºM-R/S is strongly biased downwards for LRD processes for all distributions.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Ladislav Kristoufek,