The increment ratio statistic
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Central limit and other weak theorems (60F05) Asymptotic distribution theory in statistics (62E20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Cites work
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- A Nonparametric Test for I(0)
- A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
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- Alternative forms of fractional Brownian motion
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- Asymptotic independence of distant partial sums of linear processes
- Central limit theorems for non-linear functionals of Gaussian fields
- CLT and other limit theorems for functionals of Gaussian processes
- Detection of multiple change-points in multivariate time series
- Detection of multiple changes in a sequence of dependent variables
- Discrimination between monotonic trends and long-range dependence
- Distant long-range dependent sums and regression estimation
- Efficient Tests of Nonstationary Hypotheses
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- Invariance principle for a class of non stationary processes with long memory
- Least-squares estimation of an unknown number of shifts in a time series
- Limit theorems for functionals of moving averages
- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- Log-periodogram estimation of the memory parameter of a long-memory process under trend.
- Long memory and regime switching
- Long memory and stochastic trend.
- Long-Term Memory in Stock Market Prices
- Memory and infrequent breaks
- On discriminating between long-range dependence and changes in mean
- On the power of \(R\)/\(S\)-type tests under contiguous and semi-long memory alternatives
- On weak convergence of integral functionals of stochastic processes with applications to processes taking paths in \(L^ E_ p\)
- Rescaled variance and related tests for long memory in volatility and levels
- Testing for long memory in the presence of a general trend
- Testing of unit root and other nonstationary hypotheses in macroeconomic time series
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- The Hurst effect under trends
- The Invariance Principle for Stationary Processes
- Time-Varying Fractionally Integrated Processes with Nonstationary Long Memory
- Wavelet analysis of long-range-dependent traffic
- Wavelet estimator of long-range dependent processes.
- Weak convergence to fractional brownian motion and to the rosenblatt process
Cited in
(9)- An estimator of the tail index based on increment ratio statistics
- Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics
- Applying the IR statistic to estimate the Hurst index of the fractional geometric Brownian motion
- Measuring the roughness of random paths by increment ratios
- Forecasting with fractional Brownian motion: a financial perspective
- The increment ratio statistic under deterministic trends
- A new approach to statistical inference for functional time series
- An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic
- A two-sample test for comparison of long memory parameters
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