Estimation of the fractionally differencing parameter with the R/S method

DOI10.1016/0167-9473(94)00062-NzbMath0900.62463OpenAlexW1996167230MaRDI QIDQ1350272

Michael A. Hauser, Erhard Reschenhofer

Publication date: 27 February 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(94)00062-n

zbMATH Keywords

ARFIMAAdjusted rescaled rangeLong-term dependence

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Detecting long-range dependence with truncated ratios of periodogram ordinates ⋮ A comparison of techniques of estimation in long-memory processes. ⋮ Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory

Cites Work

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• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Weak convergence to fractional brownian motion and to the rosenblatt process
• The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands
• Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
• Long-Term Memory in Stock Market Prices
• Limit theorems on the self-normalized range for weakly and strongly dependent processes

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