Asymptotic properties of the R/S statistics for linear processes

DOI10.1080/03610926.2010.489179zbMATH Open1284.60063OpenAlexW2127267457MaRDI QIDQ3100643FDOQ3100643

Ke-Ang Fu

Publication date: 18 November 2011

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2010.489179

Recommendations

• A general pattern of asymptotic behavior of the \(R/S\) statistics for linear processes
• A result on the almost sure convergence for the \(R/S\) statistic
• Asymptotic normality for random sums of linear processes
• Asymptotics for linear processes
• The law of iterated logarithm of rescaled range statistics for AR(1) model

zbMATH Keywords

complete convergenceBrownian bridgelaw of the iterated logarithmlinear processR/S statistics

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Sums of independent random variables; random walks (60G50) Strong limit theorems (60F15)

Cites Work

• Title not available (Why is that?)
• 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
• Stock market prices and long-range dependence
• The law of the iterated logarithm for the rescaled R/S statistics without the second moment
• Precise rates in the law of the logarithm in the Hilbert space
• Precise asymptotics in the law of the iterated logarithm and the complete convergence for uniform empirical process
• The law of iterated logarithm of rescaled range statistics for AR(1) model
• Precise rates in the law of the iterated logarithm for \(R/S\) statistics
• Limit theorems for self-normalized linear processes

Cited In (7)

• Title not available (Why is that?)
• Asymptotic distribution with random indices for linear processes
• Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
• Strong laws of \(R/S\) statistics with a long-range memory sample
• A general pattern of asymptotic behavior of the \(R/S\) statistics for linear processes
• Precise asymptotics in the law of the logarithm for the rescaled range statistic
• Title not available (Why is that?)

This page was built for publication: Asymptotic properties of the \(R/S\) statistics for linear processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3100643)