Estimation of the fractionally differencing parameter with the R/S method (Q1350272): Difference between revisions

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+MaRDI publication profile
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+The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands
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+TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
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+Efficient parameter estimation for self-similar processes
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+Tests for Hurst effect
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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Fractional differencing
@@ Property / cites work: Fractional differencing / rank @@
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+Long-Term Memory in Stock Market Prices
@@ Property / cites work: Long-Term Memory in Stock Market Prices / rank @@
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+Limit theorems on the self-normalized range for weakly and strongly dependent processes
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+Q3667770
@@ Property / cites work: Q3667770 / rank @@
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+Length tests for goodness of fit
@@ Property / cites work: Length tests for goodness of fit / rank @@
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+Weak convergence to fractional brownian motion and to the rosenblatt process
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+Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
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+https://doi.org/10.1016/0167-9473(94)00062-n
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+W1996167230
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