Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient

DOI10.1023/A:1009921413616zbMath0981.62035OpenAlexW1991574625MaRDI QIDQ5937005

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Publication date: 12 July 2001

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009921413616

zbMATH Keywords

Monte Carlofractional Brownian motionGaussian processcommodity pricesfractal dimensionself similaritylong-range dependencebox-counting methodfinancial marketsR-S analysisself affineness

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09) Economic time series analysis (91B84)

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