A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY

DOI10.1142/S0218348X04002586MaRDI QIDQ2937149zbMATH OpenOpenAlexFDO

Authors S. Bianchi

Publication date 8 January 2015

Published in Fractals (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0218348x04002586

zbMATH Keywords

distancefractional Brownian motionself-similarityKolmogorov-Smirnov test

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Fractional processes, including fractional Brownian motion (60G22) Non-Markovian processes: hypothesis testing (62M07) Self-similar stochastic processes (60G18)

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Cited in

(9)

• An information theory approach to stock market liquidity
• A new estimator of the self-similarity exponent through the empirical likelihood ratio test
• A test for the distributional comparison of simulated and historical data
• scientific article; zbMATH DE number 2196057 (Why is no real title available?)
• A distribution-based method to gauge market liquidity through scale invariance between investment horizons
• Rough volatility via the Lamperti transform
• A general panel break test based on the self-normalization method
• Testing self-similarity through Lamperti transformations
• Testing for the presence of self-similarity of Gaussian series having stationary increments

Describes a project that uses

Uses Software

• SimEstFBM

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