Asymptotic properties of the R/S statistics for linear processes

DOI10.1080/03610926.2010.489179zbMATH Open1284.60063OpenAlexW2127267457MaRDI QIDQ3100643FDOQ3100643

Authors 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

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)

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

Cites work

• scientific article; zbMATH DE number 3502497 (Why is no real title available?)
• Limit theorems for self-normalized linear processes
• Limit theorems on the self-normalized range for weakly and strongly dependent processes
• Long-Term Memory in Stock Market Prices
• Precise asymptotics in the law of the iterated logarithm and the complete convergence for uniform empirical process
• Precise rates in the law of the iterated logarithm for \(R/S\) statistics
• Precise rates in the law of the logarithm in the Hilbert space
• Stock market prices and long-range dependence
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
• The law of iterated logarithm of rescaled range statistics for AR(1) model
• The law of the iterated logarithm for the rescaled R/S statistics without the second moment

Cited in

(9)

• scientific article; zbMATH DE number 897205 (Why is no real title available?)
• scientific article; zbMATH DE number 4163969 (Why is no real title available?)
• Precise asymptotics in the law of the logarithm for the rescaled range statistic
• Precise Asymptotics in Complete Moment Convergence of Parameter Estimator in the Gaussian Autoregressive Process
• The law of iterated logarithm of rescaled range statistics for AR(1) model
• A result on the almost sure convergence for the \(R/S\) statistic
• Asymptotic distribution with random indices for linear processes
• A general pattern of asymptotic behavior of the \(R/S\) statistics for linear processes
• Strong laws of \(R/S\) statistics with a long-range memory sample

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