scientific article; zbMATH DE number 3820911

MaRDI QIDQ3667770zbMATH OpenFDO

Authors Benoît B. Mandelbrot, Murad S. Taqqu

Publication date 1979

zbMATH Keywords

Hermite processeshydrologynonperiodic statistical dependencerobust R/S analysis of long-run serial correlationself similar processessurvey

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes (62M99)

Cited in

(36)

• A comparison of techniques of estimation in long-memory processes.
• Regular multigraphs and their application to the Monte Carlo evaluation of moments of non-linear functions of Gaussian random variables
• Convergence in distribution of sums of bivariate Appell polynomials with long-range dependence
• M-estimators in linear models with long range dependent errors
• A critical look at Lo's modified \(R/S\) statistic.
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Continuous-time fractional ARMA processes
• Minimum distance estimation in linear models with long-range dependent errors
• Estimation of the fractionally differencing parameter with the R/S method
• The detection and estimation of long memory in stochastic volatility
• Long memory estimation for complex-valued time series
• A wavelet lifting approach to long-memory estimation
• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• The pricing of credit default swaps under a generalized mixed fractional Brownian motion
• State space modeling of long-memory processes
• On the asymptotic expansion of the empirical process of long-memory moving averages
• Note on bandwidth selection in testing for long range dependence.
• Rescaled variance and related tests for long memory in volatility and levels
• Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes.
• Long memory processes and fractional integration in econometrics
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Asymptotic behavior of weakly dependent aggregated processes
• On a class of estimation and test for long memory
• Modified LASSO estimators for time series regression models with dependent disturbances
• Not all estimators are born equal: the empirical properties of some estimators of long memory
• A comparison of Hurst exponent estimators in long-range dependent curve time series
• Parameter estimation of selfsimilarity exponents
• Rank-based change-point analysis for long-range dependent time series
• The Hurst phenomenon and the rescaled range statistic
• Estimation and pricing under long-memory stochastic volatility
• Testing for change in long-memory stochastic volatility time series
• Mean reversion in the US stock market
• Spurious regression
• The asymptotic behavior of the R/S statistic for fractional Brownian motion
• Kolmogorov-Smirnov estimation of self-similarity in long-range dependent fractional processes
• Self-similar random fields

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