The rescaled variance statistic and the determination of the Hurst exponent

Detalhes bibliográficos
Autor(a) principal: Tabak, Benjamin Miranda
Data de Publicação: 2005
Outros Autores: Cajueiro, Daniel Oliveira
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional da UCB
Texto Completo: http://twingo.ucb.br:8080/jspui/handle/10869/298
https://repositorio.ucb.br:9443/jspui/handle/123456789/7551
Resumo: A major issue in statistical physics literature is the study of the long range dependence phenomenon usually presented in natural, social and financial processes. In particular, a big part of this literature relies on the determination of a parameter known as the Hurst exponent. Although many methods have been proposed to deal with this task, none of them are suitable for any time series and sometimes when applied to the same time series present conflicting results. In this context, this paper presents a new method based on the rescaled variance statistic which can be used efficiently to this end.
id UCB-2_a09d246e59af7f6fc6cd020f561768ff
oai_identifier_str oai:200.214.135.189:123456789/7551
network_acronym_str UCB-2
network_name_str Repositório Institucional da UCB
spelling Tabak, Benjamin MirandaCajueiro, Daniel Oliveira2016-10-10T03:51:51Z2016-10-10T03:51:51Z2005TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. The rescaled variance statistic and the determination of the Hurst exponent. Mathematics and Computers in Simulation , v. 70, n. 3, p. 172-179, 2005.http://twingo.ucb.br:8080/jspui/handle/10869/298https://repositorio.ucb.br:9443/jspui/handle/123456789/7551A major issue in statistical physics literature is the study of the long range dependence phenomenon usually presented in natural, social and financial processes. In particular, a big part of this literature relies on the determination of a parameter known as the Hurst exponent. Although many methods have been proposed to deal with this task, none of them are suitable for any time series and sometimes when applied to the same time series present conflicting results. In this context, this paper presents a new method based on the rescaled variance statistic which can be used efficiently to this end.Made available in DSpace on 2016-10-10T03:51:51Z (GMT). No. of bitstreams: 5 The rescaled variance statistic and the determination of the Hurst exponent.pdf: 178593 bytes, checksum: a7814443aff867f62e340ed1b4951b1c (MD5) license_url: 52 bytes, checksum: 3d480ae6c91e310daba2020f8787d6f9 (MD5) license_text: 21716 bytes, checksum: 282d2b1a583fb55b557e8a3be8d5dd05 (MD5) license_rdf: 23930 bytes, checksum: 6b71892b27c4389434057b8b0e86b43e (MD5) license.txt: 1872 bytes, checksum: 9ede5d1aaff3f6277cd24454ee44422e (MD5) Previous issue date: 2005PublicadoTextoHurst exponentLong range dependenceR/SV/SThe rescaled variance statistic and the determination of the Hurst exponentinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleMathematics and Computers in Simulationinfo:eu-repo/semantics/openAccessengreponame:Repositório Institucional da UCBinstname:Universidade Católica de Brasília (UCB)instacron:UCBORIGINALThe rescaled variance statistic and the determination of the Hurst exponent.pdfapplication/pdf178593https://200.214.135.178:9443/jspui/bitstream/123456789/7551/1/The%20rescaled%20variance%20statistic%20and%20the%20determination%20of%20the%20Hurst%20exponent.pdfa7814443aff867f62e340ed1b4951b1cMD51CC-LICENSElicense_urlapplication/octet-stream52https://200.214.135.178:9443/jspui/bitstream/123456789/7551/2/license_url3d480ae6c91e310daba2020f8787d6f9MD52license_textapplication/octet-stream21716https://200.214.135.178:9443/jspui/bitstream/123456789/7551/3/license_text282d2b1a583fb55b557e8a3be8d5dd05MD53license_rdfapplication/octet-stream23930https://200.214.135.178:9443/jspui/bitstream/123456789/7551/4/license_rdf6b71892b27c4389434057b8b0e86b43eMD54LICENSElicense.txttext/plain1872https://200.214.135.178:9443/jspui/bitstream/123456789/7551/5/license.txt9ede5d1aaff3f6277cd24454ee44422eMD55TEXTThe rescaled variance statistic and the determination of the Hurst exponent.pdf.txtThe rescaled variance statistic and the determination of the Hurst exponent.pdf.txtExtracted texttext/plain17713https://200.214.135.178:9443/jspui/bitstream/123456789/7551/6/The%20rescaled%20variance%20statistic%20and%20the%20determination%20of%20the%20Hurst%20exponent.pdf.txtaf6a04a25391afb6f27bf48abd2ce144MD56123456789/75512017-01-17 15:08:48.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ório de Publicaçõeshttps://repositorio.ucb.br:9443/jspui/
dc.title.pt_BR.fl_str_mv The rescaled variance statistic and the determination of the Hurst exponent
title The rescaled variance statistic and the determination of the Hurst exponent
spellingShingle The rescaled variance statistic and the determination of the Hurst exponent
Tabak, Benjamin Miranda
Hurst exponent
Long range dependence
R/S
V/S
title_short The rescaled variance statistic and the determination of the Hurst exponent
title_full The rescaled variance statistic and the determination of the Hurst exponent
title_fullStr The rescaled variance statistic and the determination of the Hurst exponent
title_full_unstemmed The rescaled variance statistic and the determination of the Hurst exponent
title_sort The rescaled variance statistic and the determination of the Hurst exponent
author Tabak, Benjamin Miranda
author_facet Tabak, Benjamin Miranda
Cajueiro, Daniel Oliveira
author_role author
author2 Cajueiro, Daniel Oliveira
author2_role author
dc.contributor.author.fl_str_mv Tabak, Benjamin Miranda
Cajueiro, Daniel Oliveira
dc.subject.por.fl_str_mv Hurst exponent
Long range dependence
R/S
V/S
topic Hurst exponent
Long range dependence
R/S
V/S
dc.description.abstract.por.fl_txt_mv A major issue in statistical physics literature is the study of the long range dependence phenomenon usually presented in natural, social and financial processes. In particular, a big part of this literature relies on the determination of a parameter known as the Hurst exponent. Although many methods have been proposed to deal with this task, none of them are suitable for any time series and sometimes when applied to the same time series present conflicting results. In this context, this paper presents a new method based on the rescaled variance statistic which can be used efficiently to this end.
dc.description.status.pt_BR.fl_txt_mv Publicado
description A major issue in statistical physics literature is the study of the long range dependence phenomenon usually presented in natural, social and financial processes. In particular, a big part of this literature relies on the determination of a parameter known as the Hurst exponent. Although many methods have been proposed to deal with this task, none of them are suitable for any time series and sometimes when applied to the same time series present conflicting results. In this context, this paper presents a new method based on the rescaled variance statistic which can be used efficiently to this end.
publishDate 2005
dc.date.issued.fl_str_mv 2005
dc.date.accessioned.fl_str_mv 2016-10-10T03:51:51Z
dc.date.available.fl_str_mv 2016-10-10T03:51:51Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
status_str publishedVersion
format article
dc.identifier.citation.fl_str_mv TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. The rescaled variance statistic and the determination of the Hurst exponent. Mathematics and Computers in Simulation , v. 70, n. 3, p. 172-179, 2005.
dc.identifier.uri.fl_str_mv http://twingo.ucb.br:8080/jspui/handle/10869/298
https://repositorio.ucb.br:9443/jspui/handle/123456789/7551
identifier_str_mv TABAK, Benjamin Miranda; CAJUEIRO, Daniel Oliveira. The rescaled variance statistic and the determination of the Hurst exponent. Mathematics and Computers in Simulation , v. 70, n. 3, p. 172-179, 2005.
url http://twingo.ucb.br:8080/jspui/handle/10869/298
https://repositorio.ucb.br:9443/jspui/handle/123456789/7551
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv Texto
dc.source.none.fl_str_mv reponame:Repositório Institucional da UCB
instname:Universidade Católica de Brasília (UCB)
instacron:UCB
instname_str Universidade Católica de Brasília (UCB)
instacron_str UCB
institution UCB
reponame_str Repositório Institucional da UCB
collection Repositório Institucional da UCB
bitstream.url.fl_str_mv https://200.214.135.178:9443/jspui/bitstream/123456789/7551/1/The%20rescaled%20variance%20statistic%20and%20the%20determination%20of%20the%20Hurst%20exponent.pdf
https://200.214.135.178:9443/jspui/bitstream/123456789/7551/2/license_url
https://200.214.135.178:9443/jspui/bitstream/123456789/7551/3/license_text
https://200.214.135.178:9443/jspui/bitstream/123456789/7551/4/license_rdf
https://200.214.135.178:9443/jspui/bitstream/123456789/7551/5/license.txt
https://200.214.135.178:9443/jspui/bitstream/123456789/7551/6/The%20rescaled%20variance%20statistic%20and%20the%20determination%20of%20the%20Hurst%20exponent.pdf.txt
bitstream.checksum.fl_str_mv a7814443aff867f62e340ed1b4951b1c
3d480ae6c91e310daba2020f8787d6f9
282d2b1a583fb55b557e8a3be8d5dd05
6b71892b27c4389434057b8b0e86b43e
9ede5d1aaff3f6277cd24454ee44422e
af6a04a25391afb6f27bf48abd2ce144
bitstream.checksumAlgorithm.fl_str_mv MD5
MD5
MD5
MD5
MD5
MD5
repository.name.fl_str_mv
repository.mail.fl_str_mv
_version_ 1724829828929028096

Registros relacionados