The sampling properties of Hurst exponent estimates

Physica A: Statistical Mechanics and its Applications

Volumn 375, Issue 1, 2007, Pages 159-173

  Ellis, Craig ^a  

^a UNIVERSITY OF WESTERN SYDNEY   (Australia)

Author keywords

Distribution; Hurst exponent; Rescaled range; Simulation

Indexed keywords

FRACTALS; MATHEMATICAL MODELS; ROBUSTNESS (CONTROL SYSTEMS); TIME SERIES ANALYSIS;

HURST EXPONENT; RELATIVE BIAS; RESCALED RANGE;

STATISTICAL MECHANICS;

EID: 33751397146     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.08.046     Document Type: Article

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