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Estimating the Hurst effect and its application in monitoring clinical trials

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  • Lai, Dejian

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  • Lai, Dejian, 2004. "Estimating the Hurst effect and its application in monitoring clinical trials," Computational Statistics & Data Analysis, Elsevier, vol. 45(3), pages 549-562, April.
    • Handle: RePEc:eee:csdana:v:45:y:2004:i:3:p:549-562
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    References listed on IDEAS

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    1. Ellis, David M. & Flannery, Mark J., 1992. "Does the debt market assess large banks, risk? : Time series evidence from money center CDs," Journal of Monetary Economics, Elsevier, vol. 30(3), pages 481-502, December.
    2. Dejian Lai & Barry Davis & Robert Hardy, 2000. "Fractional Brownian motion and clinical trials," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(1), pages 103-108.
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    Cited by:

    1. Hartmann, András & Mukli, Péter & Nagy, Zoltán & Kocsis, László & Hermán, Péter & Eke, András, 2013. "Real-time fractal signal processing in the time domain," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(1), pages 89-102.
    2. Li, Yicun & Teng, Yuanyang, 2023. "Statistical inference in discretely observed fractional Ornstein–Uhlenbeck processes," Chaos, Solitons & Fractals, Elsevier, vol. 177(C).
    3. Lai, Dejian & Danca, Marius-F., 2008. "Fractal and statistical analysis on digits of irrational numbers," Chaos, Solitons & Fractals, Elsevier, vol. 36(2), pages 246-252.
    4. Mielniczuk, J. & Wojdyllo, P., 2007. "Estimation of Hurst exponent revisited," Computational Statistics & Data Analysis, Elsevier, vol. 51(9), pages 4510-4525, May.

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