Fractional Brownian Motions, Fractional Noises and Applications

Mandelbrot, B. B., & Van Ness, J. W. (1968). Fractional Brownian Motions, Fractional Noises and Applications. SIAM Review, 422-437.

Type

Journal article

Intellectual base

Primary research

Year

1968

DOI

10.1137/1010093

Link

https://doi.org/10.1137/1010093

Cited by

1 citation across 1 artifact.

Domain-specific

• Hurst Exponent
  • … problem of storage required to regulate a stream whose annual flow departs persistently from its mean. Mandelbrot and Wallis subsequently developed rescaled range as a diagnostic for noncyclic long-run dependence, while Mandelbrot and Van Ness made $H$ the self-similarity parameter of fractional Brownian motion.

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Registry ID ref:a5e66110c818 · see in the full table