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  • Search: subject:"Weierstrass function"
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Fractal Brownian motion 1 Fractionally integrated process 1 Hurst exponent 1 Modified R/S 1 Monte Carlo simulations 1 R/S 1 V/S 1 Weierstrass function 1
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Article 1
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He, Ling-Yun 1 Qian, Wen-Bin 1
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Physica A: Statistical Mechanics and its Applications 1
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RePEc 1
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A Monte Carlo simulation to the performance of the R/S and V/S methods—Statistical revisit and real world application
He, Ling-Yun; Qian, Wen-Bin - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 14, pp. 3770-3782
A correct or precise estimation of the Hurst exponent is one of the fundamentally important problems in the financial economics literature. There are three widely used tools to estimate the Hurst exponent, the canonical rescaled range (R/S), the variance rescaled statistic (V/S) and the Modified...
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