The Hurst effect under trends

DOI10.2307/3213900MaRDI QIDQ3040228zbMATH OpenOpenAlexWikidataFDO

Authors Rabi Bhattacharya, Vijay K. Gupta, Edward C. Waymire

Publication date 1983

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3213900

zbMATH Keywords

Hurst exponentweakly dependent random variables

Mathematics Subject Classification ID

Functional limit theorems; invariance principles (60F17) Stationary stochastic processes (60G10)

Cited in

(43)

• Integrated functionals of normal and fractional processes
• Non-parametric estimation of the long-range dependence exponent for Gaussian processes
• Log-periodogram estimation of the memory parameter of a long-memory process under trend.
• Long memory and stochastic trend.
• Long memory estimation for complex-valued time series
• A wavelet lifting approach to long-memory estimation
• An integrate-and-fire model to generate spike trains with long-range dependence
• Long memory versus structural breaks: an overview
• Long strange segments of a stochastic process.
• A modified multifractal detrended fluctuation analysis (MFDFA) approach for multifractal analysis of precipitation
• Not all estimators are born equal: the empirical properties of some estimators of long memory
• Normalized least-squares estimation in time-varying ARCH models
• The increment ratio statistic
• On discriminating between long-range dependence and changes in mean
• Rescaled range analysis in the presence of stochastic trend
• Structural breaks in time series
• Local Whittle estimation of the memory parameter in presence of deterministic components
• The Hurst phenomenon and the rescaled range statistic
• A novel Bayesian approach to estimate long memory parameter
• A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
• Wavelet-domain test for long-range dependence in the presence of a trend
• Why Aggregate Long Memory Time Series?
• APPARENT LONG MEMORY IN TIME SERIES AS AN ARTIFACT OF A TIME-VARYING MEAN: CONSIDERING ALTERNATIVES TO THE FRACTIONALLY INTEGRATED MODEL
• A generalized ARFIMA process with Markov-switching fractional differencing parameter
• Combining long memory and level shifts in modelling and forecasting the volatility of asset returns
• A GENERALIZATION OF FRACTAL INTERPOLATION STOCHASTIC PROCESSES TO HIGHER DIMENSIONS
• ON THE ROBUSTNESS TO SMALL TRENDS OF ESTIMATION BASED ON THE SMOOTHED PERIODOGRAM
• MEMORY PARAMETER ESTIMATION IN THE PRESENCE OF LEVEL SHIFTS AND DETERMINISTIC TRENDS
• Robust discrimination between long-range dependence and a change in mean
• Wavelet semi-parametric inference for long memory in volatility in the presence of a trend
• Medium band least squares estimation of fractional cointegration in the presence of low-frequency contamination
• Quantile periodogram and time-dependent variance
• Piecewise FARIMA models for long-memory time series
• How can we Define the Concept of Long Memory? An Econometric Survey
• Long memory and regime switching
• Fractional Gaussian fields: a survey
• Spurious regression
• The increment ratio statistic under deterministic trends
• Parameter Estimation Robust to Low-Frequency Contamination
• An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
• Nonparametric detection of a time-varying mean
• On a nonparametric change point detection model in Markovian regimes
• Evaluating currency risk in emerging markets

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