on hurst exponent estimation under heavy-tailed distributions

on hurst exponent estimation under heavy-tailed distributions

ID：7348915

大?。?.12 MB

頁數(shù)：20頁

時間：2018-02-12

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1、OnHurstexponentestimationunderheavy-taileddistributionsJozefBarunikLadislavKristoufekyAbstractInthispaper,weshowhowthesamplingpropertiesofHurstexponentmethodsofestimationchangewiththepresenceofheavytails.WerunextensiveMonteCarlosimulationsto ndouthowrescaledrangeanal-ysis(R=S

2、),multifractaldetrended uctuationanalysis(MF