The asymptotic behavior of the R/S statistic for fractional Brownian motion

DOI10.1016/j.spl.2010.09.022zbMath1206.62152OpenAlexW1985249569MaRDI QIDQ618011

Wolfgang Kliemann, Wen Li, Cindy L. Yu, Alicia L. Carriquiry

Publication date: 14 January 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2010.09.022

zbMATH Keywords

Hurst exponentself-similarity index

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Self-similar stochastic processes (60G18)

Related Items (1)

Parameter estimation for fractional Ornstein-Uhlenbeck processes at discrete observation

Uses Software

• longmemo

Cites Work

• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Estimation of Hurst exponent revisited
• Rescaled variance and related tests for long memory in volatility and levels
• The rescaled variance statistic and the determination of the Hurst exponent
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• The Long Memory of the Efficient Market
• Failure analysis on China power grid based on power law
• Limit theorems on the self-normalized range for weakly and strongly dependent processes
• A NOISE TRADER MODEL AS A GENERATOR OF APPARENT FINANCIAL POWER LAWS AND LONG MEMORY
• Computing the distribution of quadratic forms in normal variables
• Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: The asymptotic behavior of the R/S statistic for fractional Brownian motion