The law of the iterated logarithm for the rescaled R/S statistics without the second moment

DOI10.1016/S0898-1221(04)90131-9zbMath1156.60308MaRDI QIDQ1767858

Zheng Yan Lin

Publication date: 8 March 2005

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

Law of the iterated logarithmRescaled R/S statistics

Mathematics Subject Classification ID

Strong limit theorems (60F15)

Related Items (8)

The Hurst phenomenon and the rescaled range statistic ⋮ LIL for the Adjusted Range of Partial Sums in AR(1) Models with Possibly Infinite Variance ⋮ A result on the almost sure convergence for the \(R/S\) statistic ⋮ A general pattern of asymptotic behavior of the \(R/S\) statistics for linear processes ⋮ Precise asymptotics in the law of the iterated logarithm for statistic ⋮ The law of iterated logarithm of rescaled range statistics for AR(1) model ⋮ Precise asymptotics in the law of the logarithm for the rescaled range statistic ⋮ Asymptotic Properties of theR/SStatistics for Linear Processes

Cites Work

• Self-normalized laws of the iterated logarithm
• Stock market prices and long-range dependence
• Long-Term Memory in Stock Market Prices
• Limit theorems on the self-normalized range for weakly and strongly dependent processes
• Some Results on the Complete and Almost Sure Convergence of Linear Combinations of Independent Random Variables and Martingale Differences
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
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