Computer Experiments with Fractional Gaussian Noises: Part 2, Rescaled Ranges and Spectra

Benoît B. Mandelbrot · James R. Wallis

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Complex Systems and Time Series Analysis Fractional Differential Equations Solutions Statistical Mechanics and Entropy

Abstract

Continuing the preceding paper, we shall report on computer experiments concerning the ‘rescaled range’ and the spectrum of fractional Gaussian noise.

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References

1968Fractional Brownian Motions, Fractional Noises and Applications 1969Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence 1969Some long‐run properties of geophysical records 1966Long-Term Storage: An Experimental Study.1939The League of Nations Professor Tinbergen’s Method 1969Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances

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