Hurst exponents, Markov processes, and fractional Brownian motion
Year of publication: |
2006-09-30
|
---|---|
Authors: | McCauley, Joseph L. ; Gunaratne, Gemunu H. ; Bassler, Kevin E. |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Markov processes | fractional Brownian motion | scaling | Hurst exponents | stationary and nonstationary increments | autocorrelations |
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