Limit theorems on the self-normalized range for weakly and strongly dependent processes

From MaRDI portal
Revision as of 00:04, 8 February 2024 by Import240129110113 (talk | contribs) (Created automatically from import240129110113)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Publication:4776672

DOI10.1007/BF00532867zbMath0288.60033OpenAlexW4236030294WikidataQ105583302 ScholiaQ105583302MaRDI QIDQ4776672

Benoit B. Mandelbrot

Publication date: 1975

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00532867




Related Items (39)

Persistence in real variables under alternative exchange rate regimes. Some multi-country evidenceExtreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes.An integrate-and-fire model to generate spike trains with long-range dependenceDeciding between I(1) and I(0)Estimation of the fractionally differencing parameter with the R/S methodOn a class of estimation and test for long memoryThe Hurst phenomenon and the rescaled range statisticTesting for long memory in the Asian foreign exchange ratesLIL for the Adjusted Range of Partial Sums in AR(1) Models with Possibly Infinite VarianceLocal and implied volatilities with the mixed-modified-fractional-Dupire modelFast computation and practical use of amplitudes at non-Fourier frequenciesA comparison of techniques of estimation in long-memory processes.Long-term dependence in stock returnsThe asymptotic behavior of the R/S statistic for fractional Brownian motionRank-based change-point analysis for long-range dependent time seriesA result on the almost sure convergence for the \(R/S\) statisticKolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approachPoint process diagnostics based on weighted second-order statistics and their asymptotic propertiesWeak convergence to fractional brownian motion and to the rosenblatt processTesting for boundary conditions in case of fractionally integrated processesNot all estimators are born equal: the empirical properties of some estimators of long memoryA comparison of Hurst exponent estimators in long-range dependent curve time seriesA general pattern of asymptotic behavior of the \(R/S\) statistics for linear processesLong memory versus structural breaks: an overviewPrecise asymptotics in the law of the iterated logarithm for statisticEstimating long-range dependence in the presence of periodicity: An empirical studyThe law of the iterated logarithm for the rescaled R/S statistics without the second momentLimit theorems for sums of dependent random variables occurring in statistical mechanicsThe law of iterated logarithm of rescaled range statistics for AR(1) modelPrecise asymptotics in the law of the logarithm for the rescaled range statisticTesting for long-term memory in yen/dollar exchange rateAn Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break ProcessesLONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVELEstimation of Hurst exponent revisitedAsymptotic Properties of theR/SStatistics for Linear ProcessesAdjusted-range self-normalized confidence interval construction for censored dependent dataHeterogeneous expectations and long-range correlation of the volatility of asset returnsBenoît Mandelbrot and fractional Brownian motionRescaled variance and related tests for long memory in volatility and levels




Cites Work




This page was built for publication: Limit theorems on the self-normalized range for weakly and strongly dependent processes