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Preprints of the Keldysh Institute of Applied Mathematics, 2013, 011, 16 pp.
(Mi ipmp11)
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This article is cited in 5 scientific papers (total in 5 papers)
On the stationary distributions of the Hurst indicator for the non-stationary marked time series
D. S. Kirillov, O. V. Korob, N. A. Mitin, Yu. N. Orlov, R. V. Pleshakov
Abstract:
The tick time-series of WTI futures is considered. The dependence of Hurst indicator on the set length and moment of time is examined. Several variants of generalization of this factor on the marked time series are suggested. The distributions of Hurst indicator are constructed. These distributions are stationary and normal with the accuracy, according to the empirical probabilities definition.
Keywords:
Hurst indicator, marked time series, stationary distributions.
Citation:
D. S. Kirillov, O. V. Korob, N. A. Mitin, Yu. N. Orlov, R. V. Pleshakov, “On the stationary distributions of the Hurst indicator for the non-stationary marked time series”, Keldysh Institute preprints, 2013, 011, 16 pp.
Linking options:
https://www.mathnet.ru/eng/ipmp11 https://www.mathnet.ru/eng/ipmp/y2013/p11
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Statistics & downloads: |
Abstract page: | 305 | Full-text PDF : | 180 | References: | 41 |
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