A critical look at Lo's modified \(R/S\) statistic.

DOI10.1016/S0378-3758(98)00250-XzbMath1044.60508MaRDI QIDQ1304363

Murad S. Taqqu, Walter Willinger, Vadim Teverovsky

Publication date: 1999

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

Mathematics Subject Classification ID

60G18: Self-similar stochastic processes

62A09: Graphical methods in statistics

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Uses Software

• longmemo

Cites Work

• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Time series: theory and methods.
• Stock market prices and long-range dependence
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• The distribution of the maximum Brownian excursion
• The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands
• Long-Term Memory in Stock Market Prices
• Wavelet analysis of long-range-dependent traffic
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
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