The Hurst phenomenon and the rescaled range statistic

DOI10.1016/J.SPA.2016.04.008zbMATH Open1349.60028OpenAlexW2344346908MaRDI QIDQ335652FDOQ335652

David M. Mason

Publication date: 2 November 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2016.04.008

zbMATH Keywords

subgaussianHurst phenomenonrescaled range statistic

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) Strong limit theorems (60F15)

Cites Work

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• The Hurst effect under trends
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• The law of the iterated logarithm for the rescaled R/S statistics without the second moment
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• Exact confidence intervals for the Hurst parameter of a fractional Brownian motion
• The law of iterated logarithm for \(R/S\) statistics
• On the range of cumulative sums
• The asymptotic distribution of self-normalized triangular arrays
• The Mean and Variance of the Maximum of the Adjusted Partial Sums of a Finite Number of Independent Normal Variates
• Erratum to: The asymptotic distribution of self-normalized triangular arrays
• The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands
• A maximal inequality for partial sums of finite exchangeable sequences of random variables
• A note of the behavior of sample statistics when the population mean is infinite

Cited In (2)

• R/S analysis of pluviometric records: comparison with numerical experiments
• The discrete Hurst range for skew independent two-valued inflows

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