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Vincent Granville's Blog Posts Tagged 'series' (1)

Long-range Correlations in Time Series: Modeling, Testing, Case Study

We investigate a large class of auto-correlated, stationary time series, proposing a new statistical test to measure departure from the base model, known as Brownian motion. We also discuss a methodology to deconstruct these time series, in order to identify the root mechanism that generates the observations. The time series studied here can be discrete or continuous in time, they  can have various degrees of smoothness (typically measured using the Hurst exponent) as well as long-range or…

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Added by Vincent Granville on April 1, 2019 at 9:00am — 1 Comment

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