A blind method for the estimation of the Hurst exponent in time series: Theory and application
β Scribed by Esposti, Federico; Ferrario, Manuela; Signorini, Maria Gabriella
- Book ID
- 126821057
- Publisher
- American Institute of Physics
- Year
- 2008
- Tongue
- English
- Weight
- 844 KB
- Volume
- 18
- Category
- Article
- ISSN
- 1054-1500
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This paper addresses the problem of estimating the tail index Ξ± of distributions with heavy, Paretoβtype tails for dependent data, that is of interest in the areas of finance, insurance, environmental monitoring and teletraffic analysis. A novel approach based on the max selfβsimilarity
The field of statistics not only affects all areas of scientific activity, but also many other matters such as public policy. It is branching rapidly into so many different subjects that a series of handbooks is the only way of comprehensively presenting the various aspects of statistical methodolog