scientific article
From MaRDI portal
Publication:3667770
zbMath0518.62036MaRDI QIDQ3667770
Benoit B. Mandelbrot, Murad S. Taqqu
Publication date: 1979
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
surveyhydrologyHermite processesself similar processesnonperiodic statistical dependencerobust R/S analysis of long-run serial correlation
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes (62M99)
Related Items
Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors ⋮ Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes. ⋮ Continuous-time fractional ARMA processes ⋮ Minimum distance estimation in linear models with long-range dependent errors ⋮ Estimation of the fractionally differencing parameter with the R/S method ⋮ On a class of estimation and test for long memory ⋮ The Hurst phenomenon and the rescaled range statistic ⋮ The detection and estimation of long memory in stochastic volatility ⋮ Mean reversion in the US stock market ⋮ Long memory processes and fractional integration in econometrics ⋮ Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series ⋮ A comparison of techniques of estimation in long-memory processes. ⋮ Spurious regression ⋮ The asymptotic behavior of the R/S statistic for fractional Brownian motion ⋮ Rank-based change-point analysis for long-range dependent time series ⋮ Asymptotic behavior of weakly dependent aggregated processes ⋮ Modified LASSO estimators for time series regression models with dependent disturbances ⋮ Regular multigraphs and their application to the Monte Carlo evaluation of moments of non-linear functions of Gaussian random variables ⋮ Estimation and pricing under long-memory stochastic volatility ⋮ Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence ⋮ Not all estimators are born equal: the empirical properties of some estimators of long memory ⋮ A comparison of Hurst exponent estimators in long-range dependent curve time series ⋮ M-estimators in linear models with long range dependent errors ⋮ Parameter estimation of selfsimilarity exponents ⋮ The pricing of credit default swaps under a generalized mixed fractional Brownian motion ⋮ Long memory estimation for complex-valued time series ⋮ A wavelet lifting approach to long-memory estimation ⋮ State space modeling of long-memory processes ⋮ On the asymptotic expansion of the empirical process of long-memory moving averages ⋮ Testing for Change in Long‐Memory Stochastic Volatility Time Series ⋮ Self-similar random fields ⋮ A critical look at Lo's modified \(R/S\) statistic. ⋮ Note on bandwidth selection in testing for long range dependence. ⋮ Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence ⋮ Rescaled variance and related tests for long memory in volatility and levels
