The increment ratio statistic under deterministic trends

DOI10.1007/s10986-008-9010-zzbMath1375.62024MaRDI QIDQ616536

Marijus Vaičiulis, Kristina Bružaitė

Publication date: 10 January 2011

Published in: Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10986-008-9010-z

zbMATH Keywords

fractional Brownian motion; Gaussian processes; central limit theorem; long memory; increment ratio statistic

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G15: Gaussian processes

60G10: Stationary stochastic processes

Related Items

An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic

Cites Work

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