How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study
Year of publication: |
2012
|
---|---|
Authors: | Kristoufek, Ladislav |
Published in: |
Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 391.2012, 17, p. 4252-4260
|
Publisher: |
Elsevier |
Subject: | Rescaled range analysis | Modified rescaled range analysis | Hurst exponent | Long-term memory | Short-term memory |
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