Improved finite-sample Hurst exponent estimates using rescaled range analysis
نویسندگان
چکیده
منابع مشابه
Improved Estimates For The Rescaled Range And Hurst Exponents
The error of statistical volatility of intra-daily quoted price changes observed over a time interval,Statistical study of foreign exchange rates, empirical evidence of a price change scaling law, and intraday analysis', Jounal of Banking and standard deviation to correct this bias when the observed time scale is large enough. When the time scale is small, however, the R= ~ S statistic introduc...
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ژورنال
عنوان ژورنال: Water Resources Research
سال: 2007
ISSN: 0043-1397
DOI: 10.1029/2006wr005111