The increment ratio statistic (Q2476149)

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Language	Label	Description	Also known as
English	The increment ratio statistic	scientific article

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scholarly article

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The increment ratio statistic (English)

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zbMATH Open document ID

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10.1016/j.jmva.2007.01.014

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Gilles Teyssière

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Donatas Surgailis

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Marijus Vaičiulis

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Journal of Multivariate Analysis

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publication date

11 March 2008

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full work available at URL

http://hdl.handle.net/2077/2664

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Mathematics Subject Classification ID

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zbMATH DE Number

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MaRDI profile type

MaRDI publication profile

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Wavelet analysis of long-range-dependent traffic

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Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors

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Wavelet estimator of long-range dependent processes.

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On discriminating between long-range dependence and changes in mean

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The Hurst effect under trends

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Central limit theorems for non-linear functionals of Gaussian fields

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Asymptotic independence of distant partial sums of linear processes

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On weak convergence of integral functionals of stochastic processes with applications to processes taking paths in \(L^ E_ p\)

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Distant long-range dependent sums and regression estimation

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The Invariance Principle for Stationary Processes

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Long memory and regime switching

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Testing of unit root and other nonstationary hypotheses in macroeconomic time series

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Testing for long memory in the presence of a general trend

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Rescaled variance and related tests for long memory in volatility and levels

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On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives

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A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS

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A model for long memory conditional heteroscedasticity.

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CLT and other limit theorems for functionals of Gaussian processes

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ARCH-type bilinear models with double long memory.

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Memory and infrequent breaks

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Limit theorems for functionals of moving averages

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Discrimination between monotonic trends and long-range dependence

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Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?

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Detection of multiple changes in a sequence of dependent variables

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Least‐squares Estimation of an Unknown Number of Shifts in a Time Series

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Detection of multiple change-points in multivariate time series

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Long memory and stochastic trend.

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Long-Term Memory in Stock Market Prices

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A Nonparametric Test for I(0)

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Alternative forms of fractional Brownian motion

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The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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Invariance principle for a class of non stationary processes with long memory

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Almost periodically correlated processes with long memory

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Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory

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Efficient Tests of Nonstationary Hypotheses

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Log-periodogram estimation of the memory parameter of a long-memory process under trend.

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Weak convergence to fractional brownian motion and to the rosenblatt process

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Mathematics(1 entry)

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