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

DOI10.2307/2335090MaRDI QIDQ4117201zbMATH OpenOpenAlexFDO

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)

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• 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

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