Year: 2006
Type: preprint
Abstract: This paper describes, in detail, techniques for measuring the Hurst parameter. Measurements are given on artificial data both in a raw form and corrupted in various ways to check the robustness of the tools in question. Measurements are also given on real data, both new data sets and well-studied data sets. All data and tools used are freely available for download along with simple ``recipes'' which any researcher can follow to replicate these measurements.
Source: arXiv (Cornell University)
Author: Clegg, Richard G.
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1662052757