This paper considers a modified and parametric Hurst exponent using fixed amplitudes and sampling intervals given by run length statistics. Such an approach allows us to calculate a modified and theoretical Hurst exponent based on run length statistics. We then calculate the Hurst exponent for the Wiener process, its discrete time equivalent as well as a birth-death random walk.
ASJC Scopus subject areas
- Statistical and Nonlinear Physics
- Physics and Astronomy(all)
- Applied Mathematics