Type I and type II fractional Brownian motions: a reconsideration

DOI10.1016/J.CSDA.2008.11.008zbMath1453.62077DBLPjournals/csda/DavidsonH09OpenAlexW2113515280WikidataQ57933589 ScholiaQ57933589MaRDI QIDQ961404

B. E. Eshmatov

Publication date: 30 March 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://people.exeter.ac.uk/RePEc/dpapers/DP0816.pdf

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22)

Related Items (17)

Unnamed Item ⋮ Asymptotics of partial sums of linear processes with changing memory parameter ⋮ Horizon effect in the term structure of long-run risk-return trade-offs ⋮ Monitoring mean and variance change-points in long-memory time series ⋮ DISTRIBUTIONS OF QUADRATIC FUNCTIONALS OF THE FRACTIONAL BROWNIAN MOTION BASED ON A MARTINGALE APPROXIMATION ⋮ Long Memory in Integrated and Realized Variance ⋮ Estimation of Long Memory in Integrated Variance ⋮ A test of the long memory hypothesis based on self-similarity ⋮ Robust testing for explosive behavior with strongly dependent errors ⋮ Statistical test for fractional Brownian motion based on detrending moving average algorithm ⋮ THE ROLE OF INITIAL VALUES IN CONDITIONAL SUM-OF-SQUARES ESTIMATION OF NONSTATIONARY FRACTIONAL TIME SERIES MODELS ⋮ Regulated fractionally integrated processes ⋮ Efficient tapered local Whittle estimation of multivariate fractional processes ⋮ Simulation of sub-Gaussian processes using wavelets ⋮ Local Whittle estimation of multi-variate fractionally integrated processes ⋮ DETECTION OF NONCONSTANT LONG MEMORY PARAMETER ⋮ Wavelet energy ratio unit root tests

Uses Software

• Ox
• ARFIMA
• TSM

Cites Work

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• Unnamed Item
• Unnamed Item
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• ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
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• Tests for Hurst effect
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• A Fractional Dickey-Fuller Test for Unit Roots
• Fractional Brownian Motions, Fractional Noises and Applications

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