The increment ratio statistic under deterministic trends

DOI10.1007/s10986-008-9010-zzbMath1375.62024OpenAlexW2036802161MaRDI QIDQ616536

Marijus Vaičiulis, Kristina Bružaitė

Publication date: 10 January 2011

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-008-9010-z

zbMATH Keywords

fractional Brownian motionGaussian processescentral limit theoremlong memoryincrement ratio statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10)

Related Items

An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic

Cites Work

• Unnamed Item
• Unnamed Item
• Measuring the roughness of random paths by increment ratios
• Long memory and stochastic trend.
• Rescaled variance and related tests for long memory in volatility and levels
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Asymptotic independence of distant partial sums of linear processes
• The increment ratio statistic
• The Hurst effect under trends
• A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
• Discrimination between monotonic trends and long-range dependence
• Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
• Testing for long memory in the presence of a general trend
• Long memory and regime switching