A Monte Carlo simulation to the performance of the R/S and V/S methods - Statistical revisit and real world application

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 14, 2012, Pages 3770-3782

  He, Ling Yun ^a   Qian, Wen Bin ^a  

^a CHINA AGRICULTURAL UNIVERSITY   (China)

Author keywords

Fractal Brownian motion; Fractionally integrated process; Hurst exponent; Modified R S; Monte Carlo simulations; R S; V S; Weierstrass function

Indexed keywords

BROWNIAN MOVEMENT; COMMERCE; FRACTALS;

FRACTAL BROWNIAN MOTION; FRACTIONALLY INTEGRATED PROCESS; HURST EXPONENTS; MODIFIED R/S; WEIERSTRASS FUNCTIONS;

MONTE CARLO METHODS;

EID: 84859538032     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.02.028     Document Type: Article

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