The increment ratio statistic under deterministic trends

DOI10.1007/S10986-008-9010-ZMaRDI QIDQ616536zbMATH OpenOpenAlexFDO

Authors 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

Gaussian processescentral limit theoremfractional Brownian motionlong memoryincrement ratio statistic

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Stationary stochastic processes (60G10)

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Cites work

• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• scientific article; zbMATH DE number 1944328 (Why is no real title available?)
• A TEST FOR STATIONARITY VERSUS TRENDS AND UNIT ROOTS FOR A WIDE CLASS OF DEPENDENT ERRORS
• Asymptotic independence of distant partial sums of linear processes
• Discrimination between monotonic trends and long-range dependence
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Long memory and regime switching
• Long memory and stochastic trend.
• Measuring the roughness of random paths by increment ratios
• Rescaled variance and related tests for long memory in volatility and levels
• Testing for long memory in the presence of a general trend
• Testing for long‐range dependence in the presence of shifting means or a slowly declining trend, using a variance‐type estimator
• The Hurst effect under trends
• The increment ratio statistic

Cited in

(4)

• On conditional velocity increment statistics
• An adaptive estimator of the memory parameter and the goodness-of-fit test using a multidimensional increment ratio statistic
• The increment ratio statistic
• Measuring the roughness of random paths by increment ratios

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