most citedOn The Estimation of the Hurst Exponent Using Adjusted Rescaled Range Analysis, Detrended Fluctuation Analysis and Variance Time Plot: A Case of Exponential Distribution

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stat.CO2018★ 2 cited

On The Estimation of the Hurst Exponent Using Adjusted Rescaled Range Analysis, Detrended Fluctuation Analysis and Variance Time Plot: A Case of Exponential Distribution

Roel F. Ceballos, Fe F. Largo

Hurst Exponent has been widely used in different fields as a measure of long range dependence in time series. It has been studied in hydrology and geophysics, economics and finance…