The increment ratio statistic under deterministic trends

DOI10.1007/S10986-008-9010-ZzbMath1375.62024OpenAlexW2036802161MaRDI QIDQ616536

Marijus Vaičiulis, Kristina Bružaitė

Publication date: 10 January 2011

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-008-9010-z

zbMATH Keywords

fractional Brownian motionGaussian processescentral limit theoremlong memoryincrement ratio statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10)

Related Items (1)

An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic

Cites Work

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• Discrimination between monotonic trends and long-range dependence
• Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
• Testing for long memory in the presence of a general trend
• Long memory and regime switching

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