Estimation of Hurst exponent revisited
type: Item
instance of: scholarly article
title: Estimation of Hurst exponent revisited
zbMATH Open document ID: 1162.62404
published in: Computational Statistics and Data Analysis
publication date: 2009-05-29T00:00:00Z
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F10
Mathematics Subject Classification ID: 65T60
Mathematics Subject Classification ID: 62G05
zbMATH DE Number: 5559567
zbMATH Keywords: detrended fluctuation analysis (DFA) estimator
zbMATH Keywords: long-range dependence
zbMATH Keywords: rescaled adjusted range statistic (R/S)
zbMATH Keywords: scaling property
zbMATH Keywords: wavelet estimator
author: Jan Mielniczuk
author: Piotr Wojdyłło
describes a project that uses: LASS
describes a project that uses: wmtsa
MaRDI profile type: Publication
full work available at URL: j.csda.2006.07.033
OpenAlex ID: W2002006523
cites work: Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
cites work: The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands
cites work: Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
cites work: Q4865042
cites work: Tests for Hurst effect
cites work: THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
cites work: Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient
cites work: Estimating Long Memory in Volatility
cites work: The distribution of the maximum Brownian excursion
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?
cites work: Estimating the Hurst effect and its application in monitoring clinical trials
cites work: Long-Term Memory in Stock Market Prices
cites work: Limit theorems on the self-normalized range for weakly and strongly dependent processes
cites work: Q4023965
cites work: Q3442363
cites work: Q4488348
cites work: Gaussian semiparametric estimation of long range dependence
cites work: LASS: a tool for the local analysis of self-similarity
cites work: ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
cites work: A critical look at Lo's modified \(R/S\) statistic.
cites work: A wavelet-based joint estimator of the parameters of long-range dependence
cites work: Meaningful MRA initialization for discrete time series.
cites work: ON THE AUTOMATIC SELECTION OF THE ONSET OF SCALING
cites work: Estimating long-range dependence: Finite sample properties and confidence intervals
cites work: Estimation and information in stationary time series
DOI: 10.1016/J.CSDA.2006.07.033
description: scientific article; zbMATH DE number 5559567