Estimating long-range dependence in the presence of periodicity: An empirical study

DOI10.1016/S0895-7177(99)00104-1zbMath0999.62072OpenAlexW2036904089MaRDI QIDQ699423

D. Kharzeev

Publication date: 6 October 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0895-7177(99)00104-1

zbMATH Keywords

self-similaritylong memoryHurst parameterfractional ARIMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (12)

Testing for long-range dependence in the Brazilian term structure of interest rates ⋮ Abductive learning of quantized stochastic processes with probabilistic finite automata ⋮ Fractional Brownian motion: difference iterative forecasting models ⋮ A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction ⋮ An accurate algorithm to calculate the Hurst exponent of self-similar processes ⋮ Time-varying long-range dependence in US interest rates ⋮ Healthy versus congestive heart failure patients -- an approach via the Hurst parameter ⋮ Testing for long range dependence in banking equity indices ⋮ A large sample test for the length of memory of stationary symmetric stable random fields via nonsingular ℤ^d-actions ⋮ Order flow in the financial markets from the perspective of the fractional Lévy stable motion ⋮ A bivariate fractionally cointegrated relationship in the context of cyclical structures ⋮ On optimal block resampling for Gaussian-subordinated long-range dependent processes

Uses Software

• longmemo

Cites Work

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• A test of location for data with slowly decaying serial correlations
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