Estimating long-range dependence in the presence of periodicity: An empirical study
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Publication:699423
DOI10.1016/S0895-7177(99)00104-1zbMATH Open0999.62072OpenAlexW2036904089MaRDI QIDQ699423FDOQ699423
Authors: D. Kharzeev 
Publication date: 6 October 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0895-7177(99)00104-1
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- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
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- Approach to an irregular time series on the basis of the fractal theory
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- Robustness of whittle-type estimators for time series with long-range dependence
- Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
- A test of location for data with slowly decaying serial correlations
Cited In (15)
- Title not available (Why is that?)
- On optimal block resampling for Gaussian-subordinated long-range dependent processes
- THE EFFECTS OF SYSTEMATIC SAMPLING AND TEMPORAL AGGREGATION ON DISCRETE TIME LONG MEMORY PROCESSES AND THEIR FINITE SAMPLE PROPERTIES
- A bivariate fractionally cointegrated relationship in the context of cyclical structures
- Healthy versus congestive heart failure patients -- an approach via the Hurst parameter
- Testing for long range dependence in banking equity indices
- A novel auto-regressive fractionally integrated moving average–least-squares support vector machine model for electricity spot prices prediction
- A large sample test for the length of memory of stationary symmetric stable random fields via nonsingular \(\mathbb{Z}^d\)-actions
- Testing for long-range dependence in the Brazilian term structure of interest rates
- Abductive learning of quantized stochastic processes with probabilistic finite automata
- Time-varying long-range dependence in US interest rates
- Order flow in the financial markets from the perspective of the fractional Lévy stable motion
- An accurate algorithm to calculate the Hurst exponent of self-similar processes
- Fractional Brownian motion: difference iterative forecasting models
- Impact of the periodicity and trend on the FD parameter estimation
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