Can the bivariate Hurst exponent be higher than an average of the separate Hurst exponents?
نویسندگان
چکیده
منابع مشابه
Estimating the Hurst Exponent
The Hurst Exponent is a dimensionless estimator for the self-similarity of a time series. Initially defined by Harold Edwin Hurst to develop a law for regularities of the Nile water level, it now has applications in medicine and finance. Meaningful values are in the range [0, 1]. Different methods for estimating the Hurst Exponent have been evaluated: The classical “Rescaled Range” method devel...
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In order to estimate the Hurst exponent of long-range dependent time series numerous estimators such as based e.g. on rescaled 9 range statistic (R/S) or detrended fluctuation analysis (DFA) are traditionally employed. Motivated by empirical behaviour of the bias of R/S estimator, its bias-corrected version is proposed. It has smaller mean squared error than DFA and behaves comparably 11 to wav...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2015
ISSN: 0378-4371
DOI: 10.1016/j.physa.2015.02.086