| bibtype |
V -
Research Report
|
| ARLID |
0333548 |
| utime |
20240103192514.2 |
| mtime |
20091215235959.9 |
| title
(primary) (eng) |
On Hurst exponent estimation under heavy-tailed distributions |
| publisher |
| place |
Praha |
| name |
ÚTIA AV ČR |
| pub_time |
2009 |
|
| specification |
|
| edition |
| name |
Research Report |
| volume_id |
2267 |
|
| title
(cze) |
Výběrové vlastnosti Odhadů Hurstova exponentu na datech s težkými chvosty |
| keyword |
Hurst exponent |
| keyword |
heavy tails |
| keyword |
detrended fluctuation analysis |
| keyword |
rescaled range method |
| author
(primary) |
| ARLID |
cav_un_auth*0242028 |
| name1 |
Baruník |
| name2 |
Jozef |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| author
|
| ARLID |
cav_un_auth*0256902 |
| name1 |
Krištoufek |
| name2 |
Ladislav |
| institution |
UTIA-B |
| full_dept |
Department of Econometrics |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| cas_special |
| project |
| project_id |
46108 |
| agency |
GAUK |
| country |
CZ |
|
| project |
| project_id |
GD402/09/H045 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253998 |
|
| project |
| project_id |
GA402/09/0965 |
| agency |
GA ČR |
| ARLID |
cav_un_auth*0253176 |
|
| research |
CEZ:AV0Z10750506 |
| abstract
(eng) |
We show how the sampling properties of Hurst exponent methods of estimation change with the presence of heavy tails in the data. |
| abstract
(cze) |
Studie ukazuje jak se mění výběrové vlastnosti metod odhadů Hurstova exponentu na datech s těžkými chvosty. |
| reportyear |
2010 |
| RIV |
AH |
| permalink |
http://hdl.handle.net/11104/0178499 |
| arlyear |
2009 |
| mrcbU10 |
2009 |
| mrcbU10 |
Praha ÚTIA AV ČR |
|