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20202026
most citedComplexity measure, kernel density estimation, bandwidth selection, and the efficient market hypothesis

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math.ST2020★ 1 cited

A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework

Matthieu Garcin

The absolute-moment method is widespread for estimating the Hurst exponent of a fractional Brownian motion . But this method is biased when applied to a stationary version of $X…