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    Electronic Resource
    Electronic Resource
    A Monte Carlo method for estimating the correlation exponent (1995)
    Springer
    Journal of statistical physics 78 (1995), S. 799-813 
    Details
    ISSN: 1572-9613
    Keywords: Correlation exponent ; correlation dimension ; Hill estimator ; Monte Carlo method ; bootstrap
    Source: Springer Online Journal Archives 1860-2000
    Topics: Physics
    Notes: Abstract We propose a Monte Carlo method for estimating the correlation exponent of a stationary ergodic sequence. The estimator can be considered as a bootstrap version of the classical Hill estimator. A simulation study shows that the method yields reasonable estimates.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF02183688
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