The asymptotic behavior of the R/S statistic for fractional Brownian motion

Statistics and Probability Letters

Volumn 81, Issue 1, 2011, Pages 83-91

  Li, Wen ^a   Yu, Cindy ^a   Carriquiry, Alicia ^a   Kliemann, Wolfgang ^b  

^a E005A Lagomarcino Hall   (United States)

^b IOWA STATE UNIVERSITY   (United States)

Author keywords

Fractional Brownian motion; Hurst exponent; Self similarity index

Indexed keywords

EID: 78549242274     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2010.09.022     Document Type: Article

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