The increment ratio statistic

DOI10.1016/j.jmva.2007.01.014zbMath1132.62074OpenAlexW2160438500MaRDI QIDQ2476149

Gilles Teyssière, Donatas Surgailis, Marijus Vaičiulis

Publication date: 11 March 2008

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2077/2664

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Central limit and other weak theorems (60F05)

Related Items (7)

Forecasting with fractional Brownian motion: a financial perspective ⋮ The increment ratio statistic under deterministic trends ⋮ Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics ⋮ Measuring the roughness of random paths by increment ratios ⋮ A two-sample test for comparison of long memory parameters ⋮ An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic ⋮ An estimator of the tail index based on increment ratio statistics

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