The expected value of the adjusted rescaled Hurst range of independent normal summands
作者： A. A. ANNIS , E. H. LLOYD
关键词: Expected value 、 Mathematics 、 Full sample 、 Series (mathematics) 、 Rescaled range 、 Standard deviation 、 Statistical physics 、 Hurst exponent 、 Statistics 、 Range (statistics)
摘要: SUMMARY Hurst's empirical law concerning geophysical time series such as annual river flows was framed in terms of an adjusted rescaled range, namely, the range cumulative sums deviations summands from a linearly time-shifted origin, expressed units estimated standard deviation full sample. Nonsimulatory theoretical results Hurst phenomenon have hitherto been confined to without rescaling. The present paper derives expectation for independent normal summands.
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