How close is a fractional process to a random walk with drift?
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Publication:1695665
DOI10.1515/jtse-2013-0032zbMath1415.60039OpenAlexW2033483666MaRDI QIDQ1695665
Publication date: 7 February 2018
Published in: Journal of Time Series Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.degruyter.com/view/j/jtse.2015.7.issue-2/jtse-2013-0032/jtse-2013-0032.xml?format=INT
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Sums of independent random variables; random walks (60G50)
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