The rescaled variance statistic and the determination of the Hurst exponent

Daniel Cajueiro and Benjamin Tabak

Mathematics and Computers in Simulation (MATCOM), 2005, vol. 70, issue 3, 172-179

Abstract: A major issue in statistical physics literature is the study of the long range dependence phenomenon usually presented in natural, social and financial processes. In particular, a big part of this literature relies on the determination of a parameter known as the Hurst exponent. Although many methods have been proposed to deal with this task, none of them are suitable for any time series and sometimes when applied to the same time series present conflicting results. In this context, this paper presents a new method based on the rescaled variance statistic which can be used efficiently to this end.

Keywords: Hurst exponent; Long range dependence; R/S; V/S (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (13)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:70:y:2005:i:3:p:172-179

DOI: 10.1016/j.matcom.2005.06.005

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