Hurst Estimation of Scale Invariant Processes with Stationary Increments and Piecewise Linear Drift
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DOI: 10.1142/s0219477517500365
Abstract: The characteristic feature of the discrete scale invariant (DSI) processes is the invariance of their finite dimensional distributions by dilation for certain scaling factor. DSI process with piecewise linear drift and stationary increments inside prescribed… read more here.
Keywords: scale invariant; stationary increments; processes stationary; linear drift ... See more keywords