Asymptotic Properties of theR/SStatistics for Linear Processes

DOI10.1080/03610926.2010.489179zbMath1284.60063OpenAlexW2127267457MaRDI QIDQ3100643

Ke Ang Fu

Publication date: 18 November 2011

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.489179

zbMATH Keywords

complete convergencelinear processlaw of the iterated logarithmBrownian bridgeR/S statistics

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15)

Related Items (3)

A general pattern of asymptotic behavior of the \(R/S\) statistics for linear processes ⋮ Precise asymptotics in the law of the logarithm for the rescaled range statistic ⋮ Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process

Cites Work

• Unnamed Item
• Precise rates in the law of the iterated logarithm for \(R/S\) statistics
• Limit theorems for self-normalized linear processes
• Precise asymptotics in the law of the iterated logarithm and the complete convergence for uniform empirical process
• Stock market prices and long-range dependence
• The law of the iterated logarithm for the rescaled R/S statistics without the second moment
• Precise rates in the law of the logarithm in the Hilbert space
• The law of iterated logarithm of rescaled range statistics for AR(1) model
• Long-Term Memory in Stock Market Prices
• Limit theorems on the self-normalized range for weakly and strongly dependent processes
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables

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