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- W2022220950 abstract "Geometric method-based procedures, which we will call GM algorithms hereafter, were introduced in M.A. Sanchez-Granero, J.E. Trinidad Segovia, J. Garcia Perez, Some comments on Hurst exponent and the long memory processes on capital markets, Phys. A 387 (2008) 5543–5551, to calculate the Hurst exponent of a time series. The authors proved that GM algorithms, based on a geometrical approach, are more accurate than classical algorithms, especially with short length time series. The main contribution of this paper is to provide a mathematical background for the validity of these two algorithms to calculate the Hurst exponent H of random processes with stationary and self-affine increments. In particular, we show that these procedures are valid not only for exploring long memory in classical processes such as (fractional) Brownian motions, but also for estimating the Hurst exponent of (fractional) Levy stable motions." @default.
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- W2022220950 date "2012-03-01" @default.
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- W2022220950 title "A note on geometric method-based procedures to calculate the Hurst exponent" @default.
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- W2022220950 doi "https://doi.org/10.1016/j.physa.2011.11.044" @default.
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