Estimation of Hurst exponent revisited (Q1020115): Difference between revisions

@@ Property / author @@
-Jan Mielniczuk
@@ Property / author: Jan Mielniczuk / rank @@
-Normal rank
@@ Property / author @@
-Piotr Wojdyłło
@@ Property / author: Piotr Wojdyłło / rank @@
-Normal rank
@@ Property / author @@
+Jan Mielniczuk
@@ Property / author: Jan Mielniczuk / rank @@
+Normal rank
@@ Property / author @@
+Piotr Wojdyłło
@@ Property / author: Piotr Wojdyłło / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+LASS
@@ Property / describes a project that uses: LASS / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+wmtsa
@@ Property / describes a project that uses: wmtsa / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.csda.2006.07.033
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@@ Property / OpenAlex ID @@
+W2002006523
@@ Property / OpenAlex ID: W2002006523 / rank @@
+Normal rank
@@ Property / cites work @@
+Adaptive Local Polynomial Whittle Estimation of Long-range Dependence
+Normal rank
@@ Property / cites work @@
+The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands
+Normal rank
@@ Property / cites work @@
+Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
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@@ Property / cites work @@
+Q4865042
@@ Property / cites work: Q4865042 / rank @@
+Normal rank
@@ Property / cites work @@
+Tests for Hurst effect
@@ Property / cites work: Tests for Hurst effect / rank @@
+Normal rank
@@ Property / cites work @@
+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient
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+Estimating Long Memory in Volatility
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+The distribution of the maximum Brownian excursion
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+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?
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+Estimating the Hurst effect and its application in monitoring clinical trials
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+Long-Term Memory in Stock Market Prices
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+Limit theorems on the self-normalized range for weakly and strongly dependent processes
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+Q4023965
@@ Property / cites work: Q4023965 / rank @@
+Normal rank
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+Q3442363
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+Q4488348
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+Gaussian semiparametric estimation of long range dependence
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+LASS: a tool for the local analysis of self-similarity
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+ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
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+A critical look at Lo's modified \(R/S\) statistic.
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+A wavelet-based joint estimator of the parameters of long-range dependence
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+Meaningful MRA initialization for discrete time series.
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+ON THE AUTOMATIC SELECTION OF THE ONSET OF SCALING
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+Estimating long-range dependence: Finite sample properties and confidence intervals
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+Estimation and information in stationary time series
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