Table 4 P-values obtained in the Levene tests for simulations with GHE(1) and KS-GHE(1) methods
From: Improvement in Hurst exponent estimation and its application to financial markets
H | SIZE | METHOD | P-VALUE LEVENE |
|---|---|---|---|
0.1 | \(2^7\) | GHE(1) | 0.000 |
KS-GHE(1) | |||
\(2^{10}\) | GHE(1) | 0.000 | |
KS-GHE(1) | |||
\(2^{15}\) | GHE(1) | 0.000 | |
KS-GHE(1) | |||
0.5 | \(2^7\) | GHE(1) | 0.108 |
KS-GHE(1) | |||
\(2^{10}\) | GHE(1) | 0.000 | |
KS-GHE(1) | |||
\(2^{15}\) | GHE(1) | 0.000 | |
KS-GHE(1) | |||
0.9 | \(2^7\) | GHE(1) | 0.356 |
KS-GHE(1) | |||
\(2^{10}\) | GHE(1) | 0.000 | |
KS-GHE(1) | |||
\(2^{15}\) | GHE(1) | 0.000 | |
KS-GHE(1) |