Self-Similar Models: Relationship between the Diffusion Entropy Analysis, Detrended Fluctuation Analysis and Lévy Models
Financial and geophysical data, like many other low and high frequency time series, are known to exhibit some memory effects. These memory effects may be long or short, permanent or temporal depending on the event that is being modeled. The purpose of this study is to investigate the memory effects...
| Main Authors: | , , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-06-01
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| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/8/7/1046 |