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