Wolfram Language & System 10.0 (2014)|Legacy Documentation

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WOLFRAM LANGUAGE FEATURED EXAMPLE

Estimate Process Parameters from Data

The following data represents daily returns for a hypothetical stock simulated from a FractionalBrownianMotionProcess from January 1995 to January 2005.

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The estimated Hurst exponent suggests a long memory process:
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This is exemplified by the CorrelationFunction of the estimated process:
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