In this paper the inverse-Gaussian distribution is investigated as a possible theoretical model to Hurst's empirical law. The achieved results show that this model is more consistent with Hurst's law than the normal and gamma distributions models investigated by Anis and Lloyd [2]. Moreover, the results of the normal distribution model follow as a special case from the present results.
Gharib, M. (1989). Inverse-Gaussian Inputs and the Hurst Effect. The Egyptian Statistical Journal, 33(2), 187-198. doi: 10.21608/esju.1989.316536
MLA
M. Gharib. "Inverse-Gaussian Inputs and the Hurst Effect", The Egyptian Statistical Journal, 33, 2, 1989, 187-198. doi: 10.21608/esju.1989.316536
HARVARD
Gharib, M. (1989). 'Inverse-Gaussian Inputs and the Hurst Effect', The Egyptian Statistical Journal, 33(2), pp. 187-198. doi: 10.21608/esju.1989.316536
VANCOUVER
Gharib, M. Inverse-Gaussian Inputs and the Hurst Effect. The Egyptian Statistical Journal, 1989; 33(2): 187-198. doi: 10.21608/esju.1989.316536
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