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

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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
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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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+Q3667770
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+Length tests for goodness of fit
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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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