On a class of estimation and test for long memory

DOI10.1016/J.PHYSA.2018.06.092MaRDI QIDQ2153233zbMATH OpenOpenAlexFDO

Authors Hui Fu, Xin-Jiang He, Wen-Ting Chen

Publication date 1 July 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://ro.uow.edu.au/cgi/viewcontent.cgi?article=2622&context=eispapers1

zbMATH Keywords

long memory\textit{SLmemory} statistictime scale seriesweak variance scale exponent

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cited in

(6)

• scientific article; zbMATH DE number 3940535 (Why is no real title available?)
• scientific article; zbMATH DE number 4176278 (Why is no real title available?)
• Rescaled variance and related tests for long memory in volatility and levels
• The scaling function-based estimator of long memory in the presence of a short-term component
• Estimating long memory: scaling function vs. Andrews and Guggenberger GPH
• Tests of long memory: a bootstrap approach

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