Search Results - subject:"Hurst parameter"

Brown, Jennifer; Oxley, Les; Rea, William; Reale, Marco - Department of Economics and Finance, College of … - 2008

We present the results of a simulation study into the properties of 12 different estimators of the Hurst parameter, H …

Persistent link: https://www.econbiz.de/10005111040

Zunino, L.; Pérez, D.G.; Garavaglia, M.; Rosso, Osvaldo A. - In: Physica A: Statistical Mechanics and its Applications 364 (2006) C, pp. 79-86

) two quantifiers are used, the Hurst parameter, H, and the normalized total wavelet entropy. The temporal evolution of both …

Persistent link: https://www.econbiz.de/10010874304

Pérez, D.G.; Zunino, L.; Garavaglia, M.; Rosso, O.A. - In: Physica A: Statistical Mechanics and its Applications 365 (2006) 2, pp. 282-288

We study the functional link between the Hurst parameter and the normalized total wavelet entropy when analyzing …

Persistent link: https://www.econbiz.de/10011062549

Biondini, Riccardo; Lin, Yan-Xia - In: Mathematics and Computers in Simulation (MATCOM) 48 (1999) 4, pp. 407-416

referred to as the Hurst parameter (denoted by H). H is a measure of self-similarity of a given time series. The goal of this …

Persistent link: https://www.econbiz.de/10010749413