Estimation of the fractionally differencing parameter with the R/S method
From MaRDI portal
Publication:1350272
DOI10.1016/0167-9473(94)00062-NzbMath0900.62463OpenAlexW1996167230MaRDI QIDQ1350272
Michael A. Hauser, Erhard Reschenhofer
Publication date: 27 February 1997
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0167-9473(94)00062-n
Related Items (4)
Modelling structural breaks, long memory and stock market volatility: an overview ⋮ Detecting long-range dependence with truncated ratios of periodogram ordinates ⋮ A comparison of techniques of estimation in long-memory processes. ⋮ Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory
Cites Work
- Unnamed Item
- Efficient parameter estimation for self-similar processes
- Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
- TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION
- Length tests for goodness of fit
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Tests for Hurst effect
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Weak convergence to fractional brownian motion and to the rosenblatt process
- The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands
- Law of the iterated logarithm for sums of non-linear functions of Gaussian variables that exhibit a long range dependence
- Long-Term Memory in Stock Market Prices
- Limit theorems on the self-normalized range for weakly and strongly dependent processes
This page was built for publication: Estimation of the fractionally differencing parameter with the R/S method
