Bibliography
Research Report
On Hurst exponent estimation under heavy-tailed distributions
,
: ÚTIA AV ČR, (Praha 2009)
: Research Report 2267
: CEZ:AV0Z10750506
: 46108, GAUK, GD402/09/H045, GA ČR, GA402/09/0965, GA ČR
: Hurst exponent, heavy tails, detrended fluctuation analysis, rescaled range method
(eng): We show how the sampling properties of Hurst exponent methods of estimation change with the presence of heavy tails in the data.
(cze): Studie ukazuje jak se mění výběrové vlastnosti metod odhadů Hurstova exponentu na datech s těžkými chvosty.
: AH