Search Results - subject:"Fractional Gaussian noise"

Deriving dispersional and scaled windowed variance analyses using the correlation function of discrete fractional Gaussian noise

Raymond, Gary M.; Bassingthwaighte, James B. - In: Physica A: Statistical Mechanics and its Applications 265 (1999) 1, pp. 85-96

of the grouped means of discrete fractional Gaussian noise series (DfGn). Scaled windowed variance analysis estimates H …

Persistent link: https://www.econbiz.de/10010664882

Stock market prices and long-range dependence

Taqqu, Murad S.; Teverovsky, Vadim; Willinger, Walter - In: Finance and Stochastics 3 (1999) 1, pp. 1-13

Using the CRSP (Center for Research in Security Prices) daily stock return data, we revisit the question of whether or not actual stock market prices exhibit long-range dependence. Our study is based on an empirical investigation reported in Teverovsky, Taqqu and Willinger [33] of the modified...

Persistent link: https://www.econbiz.de/10005390708

Analyzing exact fractal time series: evaluating dispersional analysis and rescaled range methods

Caccia, David C.; Percival, Donald; Cannon, Michael J.; … - In: Physica A: Statistical Mechanics and its Applications 246 (1997) 3, pp. 609-632

(fractional Gaussian process) to generate exact fractional Gaussian noise (fGn) reference signals for one-dimensional time series …

Persistent link: https://www.econbiz.de/10011061128

Evaluating scaled windowed variance methods for estimating the Hurst coefficient of time series

Cannon, Michael J.; Percival, Donald B.; Caccia, David C.; … - In: Physica A: Statistical Mechanics and its Applications 241 (1997) 3, pp. 606-626

cumulative sums of fractional Gaussian noise (fGn) signals. For all three methods both the bias and standard deviation of …

Persistent link: https://www.econbiz.de/10011062664