Original title: On Hurst exponent estimation under heavy-tailed distributions
Translated title: Výběrové vlastnosti Odhadů Hurstova exponentu na datech s težkými chvosty
Authors: Baruník, Jozef ; Krištoufek, Ladislav
Document type: Research reports
Year: 2009
Language: eng
Series: Research Report, volume: 2267
Abstract: [eng] [cze]
We show how the sampling properties of Hurst exponent methods of estimation change with the presence of heavy tails in the data. Studie ukazuje jak se mění výběrové vlastnosti metod odhadů Hurstova exponentu na datech s těžkými chvosty.
Keywords: detrended fluctuation analysis; heavy tails; Hurst exponent; rescaled range method
Project no.: CEZ:AV0Z10750506 (CEP), 46108, GD402/09/H045 (CEP), GA402/09/0965 (CEP)
Funding provider: GAUK, GA ČR, GA ČR

Institution: Institute of Information Theory and Automation AS ČR (web)
Document availability information: Fulltext is available at the institute of the Academy of Sciences.
Original record: http://hdl.handle.net/11104/0178499

Permalink: http://www.nusl.cz/ntk/nusl-40861


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