On the Hurst Exponent, Markov Processes, and Fractional Brownian Motion.
Ginno MillánPublished in: CoRR (2021)
Keyphrases
- fractional brownian motion
- markov processes
- hurst exponent
- non stationary
- random fields
- long range
- long range dependence
- stochastic processes
- markov random field
- parameter estimation
- markov process
- conditional random fields
- continuous time markov chains
- autoregressive
- markov chain
- financial markets
- fractal dimension
- probabilistic model
- maximum entropy
- image processing
- optical flow
- least squares
- reinforcement learning