scientific article; zbMATH DE number 1301878
From MaRDI portal
Publication:4247104
Recommendations
- Semi-parametric estimation of long-range dependence index in infinite variance time series.
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Estimating long-range dependence: Finite sample properties and confidence intervals
- Estimation of long-range dependence in gappy Gaussian time series
- Alternative estimators of long-range dependence
- Estimating long-range dependence in the presence of periodicity: An empirical study
- scientific article; zbMATH DE number 1944328
- Long-range dependence in higher order for non-Gaussian time series
- scientific article; zbMATH DE number 203214
Cited in
(36)- Estimating the Hurst parameter in fractional \(\text{ARIMA} (p,d,q)\) models via the quasi-likelihood method
- A critical look at Lo's modified \(R/S\) statistic.
- Subordinated exchange rate models: Evidence for heavy tailed distributions and long-range dependence
- Estimating long-range dependence: Finite sample properties and confidence intervals
- Semi-parametric smoothing estimators for long-memory processes with added noise
- Systematic inference of the long-range dependence and heavy-tail distribution parameters of ARFIMA models
- Identification and validation of stable ARFIMA processes with application to UMTS data
- Whittle estimator for finite-variance non-Gaussian time series with long memory
- Long strange segments of a stochastic process.
- On pricing and hedging in financial markets with long-range dependence
- Entanglement witness and linear entropy in an open system influenced by FG noise
- Testing of fractional Brownian motion in a noisy environment
- Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: An empirical study
- Degradation trend prediction for rotating machinery using long-range dependence and particle filter approach
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- Parameter estimation of selfsimilarity exponents
- Benoît Mandelbrot and fractional Brownian motion
- Estimation methods for the LRD parameter under a change in the mean
- Can one use the Durbin-Levinson algorithm to generate infinite variance fractional ARIMA time series?
- Why FARIMA models are brittle
- Study of on-line measurement of traffic self-similarity
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Prediction of Long-Range Dependent Time Series Data with Performance Guarantee
- Applying bucket random permutations to stationary sequences with long-range dependence
- Robustness of whittle-type estimators for time series with long-range dependence
- ON THE AUTOMATIC SELECTION OF THE ONSET OF SCALING
- HEAVY-TAILED DISTRIBUTION AND LOCAL LONG MEMORY IN TIME SERIES OF MOLECULAR MOTION ON THE CELL MEMBRANE
- Power-Law Cross-Correlations: Issues, Solutions and Future Challenges
- Innovative methods for modeling of scale invariant processes
- Testing power-law cross-correlations: rescaled covariance test
- On linear models with long memory and heavy-tailed errors
- A tail index estimation for long memory processes
- Kolmogorov-Smirnov estimation of self-similarity in long-range dependent fractional processes
- Estimating long-range dependence in the presence of periodicity: An empirical study
- Bivariate statistical analysis of TCP-flow sizes and durations
- On the empirical process of strongly dependent stable random variables: asymptotic properties, simulation and applications
This page was built for publication:
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4247104)