Abstract
This paper considers a modified and parametric Hurst exponent using fixed amplitudes and sampling intervals given by run length statistics. Such an approach allows us to calculate a modified and theoretical Hurst exponent based on run length statistics. We then calculate the Hurst exponent for the Wiener process, its discrete time equivalent as well as a birth-death random walk.
Original language | English (US) |
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Pages (from-to) | 1333-1341 |
Number of pages | 9 |
Journal | Chaos, Solitons and Fractals |
Volume | 7 |
Issue number | 9 |
DOIs | |
State | Published - Sep 1996 |
ASJC Scopus subject areas
- Statistical and Nonlinear Physics
- Mathematics(all)
- Physics and Astronomy(all)
- Applied Mathematics