Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory

Author:

Ding Liang,Luo Yi,Lin Yan,Huang Yirong

Funder

National Social Science Foundation of China

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference34 articles.

1. Long-term storage capacity of reservoirs;Hurst;Trans. Am. Soc. Civ. Eng.,1951

2. Fractional Brownian motions: Fractional noises and applications;Mandelbrot;SIAM Rev.,1968

3. An introduction to long memory time series and fractionally differencing;Granger;J. Time Series Anal.,1980

4. Fractional differencing;Hosking;Biometrika,1981

5. Fractional Brownian motion and long-range dependence;Taqqu,2003

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