RUN-LENGTH STATISTICS AND THE HURST EXPONENT IN RANDOM AND BIRTH-DEATH RANDOM-WALKS

Authors
TAPIERO CS VALLOIS P
Citation
Cs. Tapiero et P. Vallois, RUN-LENGTH STATISTICS AND THE HURST EXPONENT IN RANDOM AND BIRTH-DEATH RANDOM-WALKS, Chaos, solitons and fractals, 7(9), 1996, pp. 1333-1341
Citations number
11
Categorie Soggetti
Mathematics,Mechanics,Engineering,"Physics, Applied
Journal title
Chaos, solitons and fractals → ACNP
ISSN journal
09600779
Volume
7
Issue
9
Year of publication
1996
Pages
1333 - 1341
Database
ISI
SICI code
0960-0779(1996)7:9<1333:RSATHE>2.0.ZU;2-A
Abstract
This paper considers a modified and parametric Hurst exponent using fi xed amplitudes and sampling intervals given by run length statistics. Such an approach allows us to calculate a modified and theoretical Hur st exponent based on run length statistics. We then calculate the Hurs t exponent for the Wiener process, its discrete time equivalent as wel l as a birth-death random walk. Copyright (C) 1996 Elsevier Science Lt d.