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Items for "Hurst parameter"

Long-range dependence of time series for MSFT data of the prices of shares and returns

The problem of estimation of the Hurst parameter for self-similar time series is discussed in the paper...

Keywords: Hurst parameter, self-similar time series, FARIMA time series, long-range dependence, MSFT ticker

12/2006 | Random Operators and Stochastic Equations, Walter de Gruyter