Tests for Hurst Effect
研究了区分分数高斯噪声与白噪声或一阶自回归过程的检验方法，基于beta最优原则、局部最优性和重标极差检验。
We consider the power of tests for distinguishing between fractional Gaussian noise and white noise of a first-order autoregressive process. Our tests are based on the beta-optimal principle (Davies, 1969), local optimality and the rescaled range test.