Estimating the self-similar exponent of broad-sense self-similar processes
Physica A: Statistical Mechanics and its Applications(2016)
摘要
In this paper, a new algorithm about the self-similar exponent of self-similar processes is introduced which is used to explore long memory in financial time series. This method can work for more general broad-sense self-similar processes. We prove that this algorithm performs much better than the classical methods.
更多查看译文
关键词
Self-similar exponent,Broad-sense self-similar process,Lévy stable process
AI 理解论文
溯源树
样例
![](https://originalfileserver.aminer.cn/sys/aminer/pubs/mrt_preview.jpeg)
生成溯源树,研究论文发展脉络
Chat Paper
正在生成论文摘要