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Tagged with long-range-dependence hurst-exponent
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Biased estimates of Hurst exponent in R/S analysis
I've used the standard R/S algorithm for estimating the Hurst exponent in Mathematica*, and tested it on fBm and fGn for $H\in\{0.05,0.1,\ldots,0.95\}$, generating 1000 time series for each $H$. The ...
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