Alternative forms of fractional Brownian motion

DOI10.1016/S0378-3758(98)00245-6zbMATH Open0934.60071OpenAlexW3021336658WikidataQ126777904 ScholiaQ126777904MaRDI QIDQ1304352FDOQ1304352

Authors: Peter M. Robinson, Domenico Marinucci 

Publication date: 22 September 1999

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(98)00245-6

Recommendations

• ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
• Fractional Brownian motion: theory and applications
• scientific article; zbMATH DE number 5195320
• On some possible generalizations of fractional Brownian motion.
• On some generalization of fractional Brownian motions

zbMATH Keywords

long-range dependencefractional Brownian motionnonstationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Brownian motion (60J65) Self-similar stochastic processes (60G18)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Asymptotics for linear processes
• Fractional Brownian Motions, Fractional Noises and Applications
• Multiple Time Series Regression with Integrated Processes
• Title not available (Why is that?)
• The Invariance Principle for Stationary Processes
• Weak convergence of multivariate fractional processes
• Inference for unstable long-memory processes with applications to fractional unit root autoregressions
• The Fractional Unit Root Distribution
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Convergence of integrated processes of arbitrary Hermite rank
• A functional central limit theorem for weakly dependent sequences of random variables
• Non-central limit theorems for non-linear functional of Gaussian fields
• The central limit theorem for time series regression
• Title not available (Why is that?)
• Title not available (Why is that?)
• On Convergence to Semi-Stable Gaussian Processes
• ON ASYMPTOTIC INFERENCE IN COINTEGRATED TIME SERIES WITH FRACTIONALLY INTEGRATED ERRORS
• Martingale Central Limit Theorems
• Title not available (Why is that?)
• Sample path properties of self-similar processes with stationary increments
• On the invariance principle for nonstationary mixingales
• Distant long-range dependent sums and regression estimation
• Gaussian and their subordinates self-similar random generalized fields
• Spurious regressions between I(1) processes with long memory errors
• Title not available (Why is that?)
• Invariance Principles in Statistics, Correspondent Paper

Cited In (95)

• Bootstrap long memory processes in the frequency domain
• Generating schemes for long memory processes: regimes, aggregation and linearity
• Cointegration in fractional systems with deterministic trends
• The distance between rival nonstationary fractional processes
• Type I and type II fractional Brownian motions: a reconsideration
• Residual log-periodogram inference for long-run relationships
• Estimation of fractional integration in the presence of data noise
• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• Asymptotics of partial sums of linear processes with changing memory parameter
• Weak convergence of multivariate fractional processes
• Estimation of fractional integration under temporal aggregation
• Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
• Local Whittle estimation of fractional integration and some of its variants
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• Long memory in integrated and realized variance
• Semiparametric fractional cointegration analysis
• A fixed-\(b\) test for a break in level at an unknown time under fractional integration
• A CONVERGENT t-STATISTIC IN SPURIOUS REGRESSIONS
• Heteroskedasticity-robust testing for a fractional unit root
• Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
• A comparison of semiparametric tests for fractional cointegration
• Efficiency in estimation of memory
• Impulse responses of fractionally integrated processes with long memory
• Testing for a break in trend when the order of integration is unknown
• Harmonically Weighted Processes
• Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
• Exact local Whittle estimation of fractional integration
• Narrow-band analysis of nonstationary processes
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• Fractional Invariance Principle
• Likelihood based testing for no fractional cointegration
• Mixed Gaussian processes: a filtering approach
• Local Whittle estimation of fractional integration for nonlinear processes
• Weak convergence to a modified fractional Brownian motion
• Representation formulae for the fractional Brownian motion
• Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
• DISTRIBUTION-FREE TESTS OF FRACTIONAL COINTEGRATION
• Small-\(b\) and fixed-\(b\) asymptotics for weighted covariance estimation in fractional cointegration
• Stochastic integral convergence: a white noise calculus approach
• UNBALANCED COINTEGRATION
• Stochastic averaging of quasi-non-integrable Hamiltonian systems under fractional Gaussian noise excitation
• ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
• A simple test on structural change in long-memory time series
• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
• Fractional cointegration in the presence of linear trends
• Spectral analysis of fractionally cointegrated systems
• On singular spectrum analysis and stepwise time series reconstruction
• ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
• DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
• Persistence-robust surplus-lag Granger causality testing
• Local Whittle estimation of multi-variate fractionally integrated processes
• A simple fractionally integrated model with a time-varying long memory parameter \(d_t\)
• Testing for a change in mean under fractional integration
• On a covariance structure of some subset of self-similar Gaussian processes
• On the distribution of quadratic functionals of the ordinary and fractional Brownian motions
• Asymptotic normality for weighted sums of linear processes
• Detecting changes from short to long memory
• Nonstationarity-extended local Whittle estimation
• A multivariate test against spurious long memory
• Estimation of long memory in integrated variance
• Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
• Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
• Nonhomogeneous fractional integration and multifractional processes
• The increment ratio statistic
• Asymptotic inference results for multivariate long‐memory processes
• Finite Sample Comparison of Parametric, Semiparametric, and Wavelet Estimators of Fractional Integration
• A RESIDUAL-BASED LM-TYPE TEST AGAINST FRACTIONAL COINTEGRATION
• Testing for a rational bubble under long memory
• Another approach to Brownian motion
• EXACT LOCAL WHITTLE ESTIMATION OF FRACTIONAL INTEGRATION WITH UNKNOWN MEAN AND TIME TREND
• Riemann-Liouville and Weyl fractional oscillator processes
• Exact uniform modulus of continuity and Chung's LIL for the generalized fractional Brownian motion
• Detecting long-range dependence for time-varying linear models
• Risky asset models with tempered stable fractal activity time
• Trend stationarity versus long-range dependence in time series analysis
• Nonstationarity-extended Whittle estimation with discontinuity: a correction
• Representation of random variables as Lebesgue integrals
• Long Memory Regressors and Predictive Testing: A Two-stage Rebalancing Approach
• Nonstationarity-extended Whittle estimation
• On the Wiener chaos expansion of the signature of a Gaussian process
• A fast fractional difference algorithm
• Efficient tapered local Whittle estimation of multivariate fractional processes
• Whittle-type estimation under long memory and nonstationarity
• Robust testing for explosive behavior with strongly dependent errors
• Estimation and inference in the presence of fractional \(d=1/2\) and weakly nonstationary processes
• Spurious regressions in time series with long memory
• Noncontemporaneous cointegration and the importance of timing
• Bootstrapping non-stationary and irregular time series using singular spectral analysis
• Robust testing of time trend and mean with unknown integration order errors
• Estimating the mean under strong persistence
• Change-in-mean tests in long-memory time series: a review of recent developments
• Taylor's law from Gaussian diffusions
• Hierarchical adaptive sparse grids and quasi-Monte Carlo for option pricing under the rough Bergomi model
• On the behavior of fixed-\(b\) trend break tests under fractional integration
• Efficient inference in multivariate fractionally integrated time series models

This page was built for publication: Alternative forms of fractional Brownian motion

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1304352)