The law of iterated logarithm of rescaled range statistics for AR(1) model

DOI10.1007/s10114-005-0553-1zbMath1101.60327OpenAlexW2065804065MaRDI QIDQ2508568

Sungchul Lee, Zheng Yan Lin

Publication date: 13 October 2006

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-005-0553-1

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Strong limit theorems (60F15)

Related Items (6)

LIL for the Adjusted Range of Partial Sums in AR(1) Models with Possibly Infinite Variance ⋮ A result on the almost sure convergence for the \(R/S\) statistic ⋮ A general pattern of asymptotic behavior of the \(R/S\) statistics for linear processes ⋮ Precise asymptotics in the law of the iterated logarithm for statistic ⋮ Precise asymptotics in the law of the logarithm for the rescaled range statistic ⋮ Asymptotic Properties of theR/SStatistics for Linear Processes

Cites Work

• Unnamed Item
• Stock market prices and long-range dependence
• The law of the iterated logarithm for the rescaled R/S statistics without the second moment
• The law of iterated logarithm for \(R/S\) statistics
• The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands
• Long-Term Memory in Stock Market Prices
• Limit theorems on the self-normalized range for weakly and strongly dependent processes
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables

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