Alternative estimators of long-range dependence

DOI10.2202/1558-3708.1798MaRDI QIDQ3081592zbMATH OpenOpenAlexFDO

Authors Viviana P. Fernandez

Publication date 9 March 2011

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1798

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Numerical methods for wavelets (65T60)

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(4)

• Estimation of Hurst exponent revisited
• Estimating long-range dependence: Finite sample properties and confidence intervals
• Statistical properties of detrended fluctuation analysis
• scientific article; zbMATH DE number 1301878 (Why is no real title available?)

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