Please use this identifier to cite or link to this item: https://repositorio.ucb.br:9443/jspui/handle/123456789/7551
Type: Artigo
Title: The rescaled variance statistic and the determination of the Hurst exponent
Authors: Tabak, Benjamin Miranda
Cajueiro, Daniel Oliveira
Abstract: A major issue in statistical physics literature is the study of the long range dependence phenomenon usually presented in natural, social and financial processes. In particular, a big part of this literature relies on the determination of a parameter known as the Hurst exponent. Although many methods have been proposed to deal with this task, none of them are suitable for any time series and sometimes when applied to the same time series present conflicting results. In this context, this paper presents a new method based on the rescaled variance statistic which can be used efficiently to this end.
Keywords: Hurst exponent
Long range dependence
R/S
V/S
Citation: TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. The rescaled variance statistic and the determination of the Hurst exponent. Mathematics and Computers in Simulation , v. 70, n. 3, p. 172-179, 2005.
Access Type: Acesso Aberto
URI: http://twingo.ucb.br:8080/jspui/handle/10869/298
https://repositorio.ucb.br:9443/jspui/handle/123456789/7551
Document date: 2005
Appears in Collections:PPG - Revistas e Artigos Científicos

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