The rescaled variance statistic and the determination of the Hurst exponent

Abstract

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… (More)
DOI: 10.1016/j.matcom.2005.06.005

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