How are rescaled range analyses affected by different memory and distributional properties? A Monte Carlo study

Physica A: Statistical Mechanics and its Applications

Volumn 391, Issue 17, 2012, Pages 4252-4260

  Kristoufek, Ladislav ^a,b  

^a CHARLES UNIVERSITY   (Czech Republic)

^b INSTITUTE OF INFORMATION THEORY AND AUTOMATION   (Czech Republic)

Author keywords

Hurst exponent; Long term memory; Modified rescaled range analysis; Rescaled range analysis; Short term memory

Indexed keywords

BRAIN; HIGHER ORDER STATISTICS;

HURST EXPONENTS; LONG TERM MEMORY; MODIFIED RESCALED RANGE ANALYSIS; RESCALED RANGE ANALYSIS; SHORT TERM MEMORY;

MONTE CARLO METHODS;

EID: 84861570451     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2012.04.005     Document Type: Article

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