Long-Range Dependent Traffic Classification with Convolutional Neural Networks Based on Hurst Exponent Analysis. [PDF]
Entropy (Basel), 2020 Filus K +4 more
europepmc +1 more source
Portuguese stock market: A long-memory process?
Business: Theory and Practice, 2011 This paper gives a basic overview of the various attempts at modelling stochastic processes for stock markets with a specific application to the Portuguese stock market data.
Sameer Rege, Samuel Gil Martín
doaj
Classical and modified rescaled range analysis: Sampling properties under heavy tails [PDF]
Mostly used estimators of Hurst exponent for detection of long-range dependence are biased by presence of short-range dependence in the underlying time series. We present confidence intervals estimates for rescaled range and modified rescaled range.
Ladislav Kristoufek
core +1 more source
Regional Hurst Exponent Reflects Impulsivity-Related Alterations in Fronto-Hippocampal Pathways Within the Waiting Impulsivity Network. [PDF]
Front Physiol, 2020 Neufang S, Akhrif A.
europepmc +1 more source
Fractional Brownian Motion with Negative Hurst Exponent
11 pages, 6 ...
Meerson, Baruch, Sasorov, Pavel V.
openaire +2 more sources
Evidence of crossover phenomena in wind speed data
, 2004 In this report, a systematic analysis of hourly wind speed data obtained from three potential wind generation sites (in North Dakota) is analyzed. The power spectra of the data exhibited a power-law decay characteristic of $1/f^{\alpha}$ processes with ...
Kavasseri, Rajesh G. +1 more
core +1 more source
Multifractality approach of a generalized Shannon index in financial time series.
PLoS ONEMultifractality is a concept that extends locally the usual ideas of fractality in a system. Nevertheless, the multifractal approaches used lack a multifractal dimension tied to an entropy index like the Shannon index. This paper introduces a generalized
Felipe S Abril-Bermúdez +3 more
doaj +1 more source
An Empirical Study of the Stability of Hurst Exponent Behavior Applied to Russian and American Stock Markets [PDF]
In the paper we study the stability of Hurst exponent behavior for Russian and American financial indicators. A specific technique is developed for analysis of its performance.
Zlotnik, Andrey
core
A Brainnetome Atlas Based Mild Cognitive Impairment Identification Using Hurst Exponent. [PDF]
Front Aging Neurosci, 2018 Long Z +6 more
europepmc +1 more source
The effect of the underlying distribution in Hurst exponent estimation. [PDF]
PLoS One, 2015 Sánchez MÁ +3 more
europepmc +1 more source