Run length statistics and the hurst exponent in random and birth-death random walks

Charles S. Tapiero, Pierre Vallois

Research output: Contribution to journalArticle

Abstract

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.

Original languageEnglish (US)
Pages (from-to)1333-1341
Number of pages9
JournalChaos, Solitons and Fractals
Volume7
Issue number9
DOIs
StatePublished - Sep 1996

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ASJC Scopus subject areas

  • Statistical and Nonlinear Physics
  • Mathematics(all)
  • Physics and Astronomy(all)
  • Applied Mathematics

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