A NEW DISTRIBUTION-BASED TEST OF SELF-SIMILARITY

DOI10.1142/S0218348X04002586zbMATH Open1302.62189OpenAlexW3125775313MaRDI QIDQ2937149FDOQ2937149

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

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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)

Cites Work

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Cited In (9)

• Testing for the presence of self-similarity of Gaussian series having stationary increments
• A distribution-based method to gauge market liquidity through scale invariance between investment horizons
• An information theory approach to stock market liquidity
• A general panel break test based on the self-normalization method
• Rough volatility via the Lamperti transform
• A new estimator of the self-similarity exponent through the empirical likelihood ratio test
• Testing self-similarity through Lamperti transformations
• A test for the distributional comparison of simulated and historical data
• Title not available (Why is that?)

Uses Software

• SimEstFBM

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