The Hurst phenomenon and the rescaled range statistic

DOI10.1016/j.spa.2016.04.008zbMath1349.60028OpenAlexW2344346908MaRDI QIDQ335652

David M. Mason

Publication date: 2 November 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2016.04.008

zbMATH Keywords

subgaussianHurst phenomenonrescaled range statistic

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Strong limit theorems (60F15)

Cites Work

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• Probability Inequalities for Sums of Bounded Random Variables
• Long Range Dependence
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• The Asymptotic Distribution of the Range of Sums of Independent Random Variables

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