Strong laws of R/S statistics with a long-range memory sample

MaRDI QIDQ3378792zbMATH OpenFDO

Authors Zhengyan Lin

Publication date 4 April 2006

zbMATH Keywords

law of the iterated logarithmlong-range memory\(R/S\) statistics

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of functional analysis in probability theory and statistics (46N30) Non-Markovian processes: hypothesis testing (62M07) Strong limit theorems (60F15)

Recommendations

• Rescaled range analysis in the presence of stochastic trend
• Robustness of the \(R/S\) statistic for fractional stable noises
• The V/S test of long-range dependence in random fields
• The law of iterated logarithm of rescaled range statistics for AR(1) model
• Asymptotic properties of the \(R/S\) statistics for linear processes

Cited in

(7)

• A result on the almost sure convergence for the R/S statistic
• The V/S test of long-range dependence in random fields
• A general pattern of asymptotic behavior of the R/S statistics for linear processes
• Rescaled range analysis in the presence of stochastic trend
• Precise asymptotics in the law of the iterated logarithm for statistic
• Precise asymptotics in the law of the logarithm for the rescaled range statistic
• The law of iterated logarithm of rescaled range statistics for AR(1) model

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