Limit theorems on the self-normalized range for weakly and strongly dependent processes

DOI10.1007/BF00532867MaRDI QIDQ4776672zbMATH OpenOpenAlexWikidataFDO

Authors Benoît B. Mandelbrot

Publication date 1975

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00532867

Mathematics Subject Classification ID

Inference from stochastic processes (62M99) Gaussian processes (60G15) Economic time series analysis (91B84) Limit theorems in probability theory (60F99)

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• Convergence Criteria for Multiparameter Stochastic Processes and Some Applications
• Fractional Brownian Motions, Fractional Noises and Applications
• Limit distributions of self-normalized sums
• Long-Run Linearity, Locally Gaussian Process, H-Spectra and Infinite Variances
• On the range of cumulative sums
• Semi-Stable Stochastic Processes
• The Asymptotic Distribution of the Range of Sums of Independent Random Variables
• The Brownian movement and stochastic equations
• The Influence of the Maximum Term in the Addition of Independent Random Variables
• The Invariance Principle for Stationary Processes
• Weak convergence of probability measures and random functions in the function space D[0,∞)
• Weak convergence to fractional brownian motion and to the rosenblatt process

Cited in

(39)

• Long-term dependence in stock returns
• Testing for boundary conditions in case of fractionally integrated processes
• A result on the almost sure convergence for the R/S statistic
• Rank-based change-point analysis for long-range dependent time series
• Not all estimators are born equal: the empirical properties of some estimators of long memory
• Estimation of Hurst exponent revisited
• Kolmogorov-Smirnov type testing for structural breaks: a new adjusted-range based self-normalization approach
• Benoît Mandelbrot and fractional Brownian motion
• Asymptotic properties of the \(R/S\) statistics for linear processes
• Estimation of the fractionally differencing parameter with the R/S method
• Testing for long memory in the Asian foreign exchange rates
• Testing for long-term memory in yen/dollar exchange rate
• LIL for the Adjusted Range of Partial Sums in AR(1) Models with Possibly Infinite Variance
• A comparison of Hurst exponent estimators in long-range dependent curve time series
• Rescaled variance and related tests for long memory in volatility and levels
• A general pattern of asymptotic behavior of the R/S statistics for linear processes
• Precise asymptotics in the law of the iterated logarithm for statistic
• LONG RANGE DEPENDENCE, UNBALANCED HAAR WAVELET TRANSFORMATION AND CHANGES IN LOCAL MEAN LEVEL
• Deciding between I(1) and I(0)
• Extreme value theory, ergodic theory and the boundary between short memory and long memory for stationary stable processes.
• The asymptotic behavior of the R/S statistic for fractional Brownian motion
• On a class of estimation and test for long memory
• Long memory versus structural breaks: an overview
• Precise asymptotics in the law of the logarithm for the rescaled range statistic
• The Hurst phenomenon and the rescaled range statistic
• Persistence in real variables under alternative exchange rate regimes. Some multi-country evidence
• The law of iterated logarithm of rescaled range statistics for AR(1) model
• A comparison of techniques of estimation in long-memory processes.
• Local and implied volatilities with the mixed-modified-fractional-Dupire model
• Point process diagnostics based on weighted second-order statistics and their asymptotic properties
• An Empirical Strategy to Detect Spurious Effects in Long Memory and Occasional-Break Processes
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Fast computation and practical use of amplitudes at non-Fourier frequencies
• Estimating long-range dependence in the presence of periodicity: An empirical study
• The law of the iterated logarithm for the rescaled R/S statistics without the second moment
• Heterogeneous expectations and long-range correlation of the volatility of asset returns
• An integrate-and-fire model to generate spike trains with long-range dependence
• Limit theorems for sums of dependent random variables occurring in statistical mechanics
• Adjusted-range self-normalized confidence interval construction for censored dependent data

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