LIL for the Adjusted Range of Partial Sums in AR(1) Models with Possibly Infinite Variance
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Publication:2931564
DOI10.1080/03610926.2012.705943zbMath1308.60036OpenAlexW2056136996MaRDI QIDQ2931564
Publication date: 26 November 2014
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2012.705943
Cites Work
- Stock market prices and long-range dependence
- Rates of clustering in Strassen's LIL for partial sum processes
- The law of the iterated logarithm for the rescaled R/S statistics without the second moment
- A generalization of strassen's functional LIL
- The law of iterated logarithm of rescaled range statistics for AR(1) model
- Some results on two-sided LIL behavior
- 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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