Timeline for Total absolute variation of brownian motion, with different sampling rates
Current License: CC BY-SA 3.0
5 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jan 24, 2016 at 21:52 | comment | added | Basj | I just added a small question about link with Hurst exponent (see fractional brownian motion). Do you have any idea @Kostya_l ? | |
| Jan 14, 2016 at 20:55 | comment | added | Kostya_I | If one multiplies a random variable by $A$, then its mean is multiplied by $A$ and variance by $A^2$. So, you just scale $X_i$ to make it a standard Gaussian, and then $C_1$ is the expectation of its modulus (whatever it is) | |
| Jan 14, 2016 at 15:12 | comment | added | Basj | Thanks it is very clear now! Just a small thing: to prove that $|X_i|$ has mean $C_1 \sqrt{\delta}$, do you use this or is there a simpler way? | |
| Jan 14, 2016 at 15:06 | vote | accept | Basj | ||
| Jan 14, 2016 at 12:11 | history | answered | Kostya_I | CC BY-SA 3.0 |