Evaluating Quasi-Monte Carlo (QMC) algorithms in blocks decomposition of de-trended

Subject Areas : International Journal of Industrial Mathematics

K. Fathi Vajargah ¹

1 - Department of Statistics, Islamic Azad University, North Branch Tehran, Iran.

Received: 2015-09-10 Accepted : 2015-09-10 Published : 2015-09-01

Keywords: De-trended uctuation analysis, Long-range dependence, Cholesky decomposition, Quasi&#x0D, &#x0D, Monte Carlo simulation,

Abstract :

The length of equal minimal and maximal blocks has eected on logarithm-scale logarithm against sequential function on variance and bias of de-trended uctuation analysis, by using Quasi Monte Carlo(QMC) simulation and Cholesky decompositions, minimal block couple and maximal are founded which are minimum the summation of mean error square in Horest power.