From: Improvement in Hurst exponent estimation and its application to financial markets
H | SIZE | METHOD | P-VALUE LEVENE |
---|---|---|---|
0.1 | \(2^7\) | TA | 0.000 |
KS-TA | |||
\(2^{10}\) | TA | 0.114 | |
KS-TA | |||
\(2^{15}\) | TA | 0.000 | |
KS-TA | |||
0.5 | \(2^{7}\) | TA | 0.913 |
KS-TA | |||
\(2^{10}\) | TA | 0.000 | |
KS-TA | |||
\(2^{15}\) | TA | 0.000 | |
KS-TA | |||
0.9 | \(2^{7}\) | TA | 0.339 |
KS-TA | |||
\(2^{10}\) | TA | 0.000 | |
KS-TA | |||
\(2^{15}\) | TA | 0.000 | |
KS-TA |