Deriving dispersional and scaled windowed variance analyses using the correlation function of discrete fractional Gaussian noise
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- Loutridis, S.J., 2007. "An algorithm for the characterization of time-series based on local regularity," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 381(C), pages 383-398.
- Hendrik J. Blok, 2000. "On the nature of the stock market: Simulations and experiments," Papers cond-mat/0010211, arXiv.org.
- Michalski, Sebastian, 2008. "Blocks adjustment—reduction of bias and variance of detrended fluctuation analysis using Monte Carlo simulation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(1), pages 217-242.
- Mante, Claude, 2007. "Application of resampling and linear spline methods to spectral and dispersional analyses of long-memory processes," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4308-4323, May.
- Almurad, Zainy M.H. & Delignières, Didier, 2016. "Evenly spacing in Detrended Fluctuation Analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 63-69.
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KeywordsCorrelation function; Dispersion analysis; Scaled windowed variance analysis; Detrended fluctuation; Discrete fractional Gaussian noise; Discrete fractional Brownian motion; Hurst coefficient; Self-similarity;
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