Alternative forms of fractional Brownian motion
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Cites work
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Cited in
(only showing first 100 items - show all)- Estimation of fractional integration in the presence of data noise
- Minimum distance estimation of stationary and non‐stationary ARFIMA processes
- A simple test on structural change in long-memory time series
- Weak convergence of multivariate fractional processes
- Testing for a change in mean under fractional integration
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- Efficient tapered local Whittle estimation of multivariate fractional processes
- Riemann-Liouville and Weyl fractional oscillator processes
- Nonstationarity-extended Whittle estimation with discontinuity: a correction
- Estimating the mean under strong persistence
- Change-in-mean tests in long-memory time series: a review of recent developments
- Asymptotics of partial sums of linear processes with changing memory parameter
- Testing for a break in trend when the order of integration is unknown
- Asymptotic theory of least squares estimators for nearly unstable processes under strong dependence
- Nonhomogeneous fractional integration and multifractional processes
- The increment ratio statistic
- Another approach to Brownian motion
- Exact local Whittle estimation of fractional integration
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- The distance between rival nonstationary fractional processes
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- Residual log-periodogram inference for long-run relationships
- Local Whittle estimation of fractional integration and some of its variants
- Asymptotic normality of narrow-band least squares in the stationary fractional cointegration model and volatility forecasting
- Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
- On the behavior of fixed-b trend break tests under fractional integration
- Risky asset models with tempered stable fractal activity time
- Local Whittle estimation of fractional integration for nonlinear processes
- Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach
- Nonstationarity-extended local Whittle estimation
- Long memory in integrated and realized variance
- Weak convergence to a modified fractional Brownian motion
- A fixed-b test for a break in level at an unknown time under fractional integration
- Impulse responses of fractionally integrated processes with long memory
- Testing the null hypothesis of nonstationary long memory against the alternative hypothesis of a nonlinear ergodic model
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- Nonstationarity-extended Whittle estimation
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- ALTERNATIVE FREQUENCY AND TIME DOMAIN VERSIONS OF FRACTIONAL BROWNIAN MOTION
- Heteroskedasticity-robust testing for a fractional unit root
- TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN
- ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS
- Realized wavelet-based estimation of integrated variance and jumps in the presence of noise
- Local Whittle estimation of multi-variate fractionally integrated processes
- DETECTION OF NONCONSTANT LONG MEMORY PARAMETER
- Asymptotic normality for weighted sums of linear processes
- Robust testing of time trend and mean with unknown integration order errors
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- Fractional Invariance Principle
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- Taylor's law from Gaussian diffusions
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- Local Whittle estimation in time-varying long memory series
- Fractional Dickey-Fuller test with or without prehistorical influence
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- Boosting the HP filter for trending time series with long-range dependence
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- Weak convergence to derivatives of fractional Brownian motion
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- Nonparametric detection of a time-varying mean
- Robust Trend Estimation for Strongly Persistent Data with Unobserved Memory
- The modified conditional sum-of-squares estimator for fractionally integrated models
- Stochastic self-similarity and stationarity: novel perspectives for heterogeneous and multifractal processes
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