The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands

DOI10.2307/2335090zbMATH Open0347.60061OpenAlexW4239173175MaRDI QIDQ4117201FDOQ4117201

Authors: Abdel-Azim Anis, Emlyn H. Lloyd 

Publication date: 1976

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2335090

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Cited In (12)

• Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
• A critical look at Lo's modified \(R/S\) statistic.
• Estimation of Hurst exponent revisited
• Long memory processes and fractional integration in econometrics
• Estimation of the fractionally differencing parameter with the R/S method
• COVID-19 and credit risk: a long memory perspective
• Return anomalies on the Nikkei: are they statistical illusions?
• The Hurst phenomenon and the rescaled range statistic
• The law of iterated logarithm of rescaled range statistics for AR(1) model
• The historically adjusted range and the historically rescaled adjusted range
• The discrete Hurst range for skew independent two-valued inflows
• Approximating the distribution of the maximum partial sum of normal deviates

This page was built for publication: The Expected Value of the Adjusted Rescaled Hurst Range of Independent Normal Summands

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4117201)