Li, Yuanbo; Chan, Chu Kin; Yau, Chun Yip; Ng, Wai Leong; Lam, Henry Burn-in selection in simulating stationary time series. (English) Zbl 1543.62134 Comput. Stat. Data Anal. 192, Article ID 107886, 10 p. (2024). MSC: 62-08 × Cite Format Result Cite Review PDF Full Text: DOI
Bisewski, Krzysztof Lower bound for the expected supremum of fractional Brownian motion using coupling. (English) Zbl 07787407 J. Appl. Probab. 60, No. 4, 1232-1248 (2023). MSC: 60G22 60G15 68M20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Shang, Han Lin Sieve bootstrapping the memory parameter in long-range dependent stationary functional time series. (English) Zbl 07765566 AStA, Adv. Stat. Anal. 107, No. 3, 421-441 (2023). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI OA License
Chan, Kin Wai Mean-structure and autocorrelation consistent covariance matrix estimation. (English) Zbl 07928169 J. Bus. Econ. Stat. 40, No. 1, 201-215 (2022). MSC: 62P20 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Squarcini, Alessio; Solon, Alexandre; Viot, Pascal; Oshanin, Gleb Fractional Brownian gyrator. (English) Zbl 1519.82099 J. Phys. A, Math. Theor. 55, No. 48, Article ID 485001, 24 p. (2022). MSC: 82C31 × Cite Format Result Cite Review PDF Full Text: DOI arXiv OA License
AL-hada, Eman A.; Tang, Xiangong; Deng, Weihua Classification of stochastic processes by convolutional neural networks. (English) Zbl 1509.68213 J. Phys. A, Math. Theor. 55, No. 27, Article ID 274006, 33 p. (2022). MSC: 68T05 60G07 60K50 × Cite Format Result Cite Review PDF Full Text: DOI
dos Santos, M. A. F.; Colombo, E. H.; Anteneodo, C. Random diffusivity scenarios behind anomalous non-Gaussian diffusion. (English) Zbl 1502.60165 Chaos Solitons Fractals 152, Article ID 111422, 8 p. (2021). MSC: 60K50 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gómez-Águila, A.; Sánchez-Granero, M. A. A theoretical framework for the TTA algorithm. (English) Zbl 07482443 Physica A 582, Article ID 126288, 8 p. (2021). MSC: 82-XX × Cite Format Result Cite Review PDF Full Text: DOI OA License
Ding, Liang; Luo, Yi; Lin, Yan; Huang, Yirong Revisiting the relations between Hurst exponent and fractional differencing parameter for long memory. (English) Zbl 1533.60047 Physica A 566, Article ID 125603, 14 p. (2021). MSC: 60G22 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Li, Degui; Robinson, Peter M.; Shang, Han Lin Local Whittle estimation of long-range dependence for functional time series. (English) Zbl 1476.62188 J. Time Ser. Anal. 42, No. 5-6, 685-695 (2021). MSC: 62M10 62H25 62R10 60G18 60B12 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Yi; Dong, Jing; Ni, Hao \(\epsilon\)-strong simulation of fractional Brownian motion and related stochastic differential equations. (English) Zbl 07371743 Math. Oper. Res. 46, No. 2, 559-594 (2021). MSC: 65C05 60G22 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Link
Boniece, B. Cooper; Didier, Gustavo; Sabzikar, Farzad Tempered fractional Brownian motion: wavelet estimation, modeling and testing. (English) Zbl 1461.62152 Appl. Comput. Harmon. Anal. 51, 461-509 (2021). MSC: 62M10 62M15 60G18 60G22 42C40 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Mateos, Diego M.; Zozor, Steeve; Olivares, Felipe Contrasting stochasticity with chaos in a permutation Lempel-Ziv complexity – Shannon entropy plane. (English) Zbl 07528406 Physica A 554, Article ID 124640, 13 p. (2020). MSC: 82-XX × Cite Format Result Cite Review PDF Full Text: DOI
Kim, Ji-Hyun; Lee, Hunki; Song, Sanggeun; Koh, Hye Ran; Sung, Jaeyoung Observation time dependent mean first passage time of diffusion and subdiffusion processes. (English) Zbl 1456.60218 J. Stat. Mech. Theory Exp. 2020, No. 3, Article ID 033204, 27 p. (2020). MSC: 60J70 60K50 82C70 60G50 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Koul, Hira L.; Li, Fang Comparing two nonparametric regression curves in the presence of long memory in covariates and errors. (English) Zbl 1439.62192 Metrika 83, No. 4, 499-517 (2020). Reviewer: Claudia Simionescu-Badea (Wien) MSC: 62M10 62G08 62K20 60G07 × Cite Format Result Cite Review PDF Full Text: DOI
Craigmile, Peter F.; Mondal, Debashis Estimation of long-range dependence in gappy Gaussian time series. (English) Zbl 1436.62417 Stat. Comput. 30, No. 1, 167-185 (2020). MSC: 62M10 62M15 42C40 62D10 62P12 × Cite Format Result Cite Review PDF Full Text: DOI Link
Tudor, Sebastian F.; Chatterjee, Rupak; Nguyen, Lac; Huang, Yuping Quantum systems for Monte Carlo methods and applications to fractional stochastic processes. (English) Zbl 07570634 Physica A 534, Article ID 121901, 16 p. (2019). MSC: 82-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Roume, Clément; Ezzina, Samar; Blain, Hubert; Delignières, Didier Biases in the simulation and analysis of fractal processes. (English) Zbl 1428.92054 Comput. Math. Methods Med. 2019, Article ID 4025305, 12 p. (2019). MSC: 92C50 28A80 × Cite Format Result Cite Review PDF Full Text: DOI
Coeurjolly, Jean-Francois; Porcu, Emilio Fast and exact simulation of complex-valued stationary Gaussian processes through embedding circulant matrix. (English) Zbl 07498946 J. Comput. Graph. Stat. 27, No. 2, 278-290 (2018). MSC: 62-XX × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gross, Markus First-passage dynamics of linear stochastic interface models: numerical simulations and entropic repulsion effect. (English) Zbl 1459.82231 J. Stat. Mech. Theory Exp. 2018, No. 3, Article ID 033212, 57 p. (2018). MSC: 82C31 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Weron, Aleksander Mathematical models for dynamics of molecular processes in living biological cells a single particle tracking approach. (English) Zbl 1401.60155 Ann. Math. Sil. 32, 5-41 (2018). MSC: 60J70 62M10 92C37 × Cite Format Result Cite Review PDF Full Text: DOI OA License
Cardinali, Alessandro; Nason, Guy P. Practical powerful wavelet packet tests for second-order stationarity. (English) Zbl 1387.62099 Appl. Comput. Harmon. Anal. 44, No. 3, 558-583 (2018). MSC: 62M10 42C40 62M15 × Cite Format Result Cite Review PDF Full Text: DOI Link
Borovkov, Konstantin; Mishura, Yuliya; Novikov, Alexander; Zhitlukhin, Mikhail Bounds for expected maxima of Gaussian processes and their discrete approximations. (English) Zbl 1361.60027 Stochastics 89, No. 1, 21-37 (2017). MSC: 60G15 60G70 60G22 60J65 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Delignières, Didier Correlation properties of (discrete) fractional Gaussian noise and fractional Brownian motion. (English) Zbl 1393.60036 Math. Probl. Eng. 2015, Article ID 485623, 7 p. (2015). MSC: 60G22 × Cite Format Result Cite Review PDF Full Text: DOI
Didier, Gustavo; Fricks, John On the wavelet-based simulation of anomalous diffusion. (English) Zbl 1474.60232 J. Stat. Comput. Simulation 84, No. 4, 697-723 (2014). MSC: 60K50 60G10 60H35 42C40 60G15 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Paris, Matteo G. A. Quantum probes for fractional Gaussian processes. (English) Zbl 1395.82029 Physica A 413, 256-265 (2014). MSC: 82B10 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Gajda, Janusz; Wyłomańska, Agnieszka Fokker-Planck type equations associated with fractional Brownian motion controlled by infinitely divisible processes. (English) Zbl 1395.60045 Physica A 405, 104-113 (2014). MSC: 60G22 60E07 60J60 82C31 35Q84 × Cite Format Result Cite Review PDF Full Text: DOI
Jensen, Andreas Noack; Nielsen, Morten Ørregaard A fast fractional difference algorithm. (English) Zbl 1311.65009 J. Time Ser. Anal. 35, No. 5, 428-436 (2014). MSC: 65C60 62M10 × Cite Format Result Cite Review PDF Full Text: DOI Link
Dieker, A. B.; Yakir, B. On asymptotic constants in the theory of extremes for Gaussian processes. (English) Zbl 1298.60043 Bernoulli 20, No. 3, 1600-1619 (2014). MSC: 60G15 60G70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv Euclid
Vaughan, Simon Random time series in astronomy. (English) Zbl 1353.85005 Philos. Trans. R. Soc. Lond., Ser. A, Math. Phys. Eng. Sci. 371, No. 1984, Article ID 20110549, 21 p. (2013). MSC: 85A35 62M10 62P35 83F05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Estrada Vargas, Leopoldo; Torres Roman, Deni; Toral Cruz, Homer A study of wavelet analysis and data extraction from second-order self-similar time series. (English) Zbl 1296.62165 Math. Probl. Eng. 2013, Article ID 102834, 14 p. (2013). MSC: 62M10 60G18 94A05 × Cite Format Result Cite Review PDF Full Text: DOI
Eliazar, Iddo I.; Shlesinger, Michael F. Fractional motions. (English) Zbl 1300.82015 Phys. Rep. 527, No. 2, 101-129 (2013). MSC: 82B41 60J65 82C31 60J60 26A33 60G51 28A80 × Cite Format Result Cite Review PDF Full Text: DOI
Lai, Dejian Sample size determination for group sequential test under fractional Brownian motion. (English) Zbl 1349.62549 Electron. J. Stat. 7, 1957-1967 (2013). MSC: 62P10 62L10 60G22 × Cite Format Result Cite Review PDF Full Text: DOI Euclid
Salomón, Luis A.; Fort, Jean-Claude Estimation of the Hurst parameter in some fractional processes. (English) Zbl 1348.60063 J. Stat. Comput. Simulation 83, No. 3, 542-554 (2013). MSC: 60G22 60G15 62F10 62M05 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Frederiksen, Per; Nielsen, Frank S.; Nielsen, Morten Ørregaard Local polynomial Whittle estimation of perturbed fractional processes. (English) Zbl 1441.62693 J. Econom. 167, No. 2, 426-447 (2012). MSC: 62P20 62M10 62M15 60G22 × Cite Format Result Cite Review PDF Full Text: DOI Link
Ramírez-Pacheco, Julio; Torres-Román, Deni; Argaez-Xool, Jesús; Rizo-Dominguez, Luis; Trejo-Sanchez, Joel; Manzano-Pinzón, Francisco Wavelet \(q\)-Fisher information for scaling signal analysis. (English) Zbl 1314.94032 Entropy 14, No. 8, 1478-1500 (2012). MSC: 94A17 94A11 × Cite Format Result Cite Review PDF Full Text: DOI
Didier, Gustavo; McKinley, Scott A.; Hill, David B.; Fricks, John Statistical challenges in microrheology. (English) Zbl 1282.62232 J. Time Ser. Anal. 33, No. 5, 724-743 (2012). MSC: 62P10 60G15 62M09 60J70 92C35 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Yau, Chun Yip; Davis, Richard A. Likelihood inference for discriminating between long-memory and change-point models. (English) Zbl 1282.62208 J. Time Ser. Anal. 33, No. 4, 649-664 (2012). MSC: 62M10 62M07 × Cite Format Result Cite Review PDF Full Text: DOI
Caiado, Jorge; Crato, Nuno; Peña, Daniel Tests for comparing time series of unequal lengths. (English) Zbl 1431.62357 J. Stat. Comput. Simulation 82, No. 12, 1715-1725 (2012). MSC: 62M10 62G10 62M15 × Cite Format Result Cite Review PDF Full Text: DOI Link
Ramirez Pacheco, Julio; Torres Román, Deni; Toral Cruz, Homero Distinguishing stationary/nonstationary scaling processes using wavelet Tsallis \(q\)-entropies. (English) Zbl 1264.62094 Math. Probl. Eng. 2012, Article ID 867042, 18 p. (2012). MSC: 62M99 42C40 60G10 62B10 94A17 × Cite Format Result Cite Review PDF Full Text: DOI
Olivares, Felipe; Plastino, Angelo; Rosso, Osvaldo A. Contrasting chaos with noise via local versus global information quantifiers. (English) Zbl 1260.37022 Phys. Lett., A 376, No. 19, 1577-1583 (2012). MSC: 37D45 60H40 94A17 × Cite Format Result Cite Review PDF Full Text: DOI
Xiao, WeiLin; Zhang, WeiGuo; Zhang, XiLi Minimum contrast estimator for fractional Ornstein-Uhlenbeck processes. (English) Zbl 1274.62567 Sci. China, Math. 55, No. 7, 1497-1511 (2012). MSC: 62M09 60G22 60H07 60H10 × Cite Format Result Cite Review PDF Full Text: DOI
Ramírez-Pacheco, Julio; Torres-Román, Deni; Rizo-Dominguez, Luis; Trejo-Sanchez, Joel; Manzano-Pinzón, Francisco Wavelet Fisher’s information measure of \(1/f^\alpha\) signals. (English) Zbl 1301.94051 Entropy 13, No. 9, 1648-1663 (2011). MSC: 94A17 94A12 × Cite Format Result Cite Review PDF Full Text: DOI
Shao, Xiaofeng A simple test of changes in mean in the possible presence of long-range dependence. (English) Zbl 1273.62223 J. Time Ser. Anal. 32, No. 6, 598-606 (2011). MSC: 62M10 62P12 62M07 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Qiang Repeated confidence intervals under fractional Brownian motion in long-term clinical trials. (English) Zbl 1416.62627 Commun. Stat., Simulation Comput. 40, No. 8, 1130-1145 (2011). MSC: 62P10 60G22 62L10 × Cite Format Result Cite Review PDF Full Text: DOI
Helgason, Hannes; Pipiras, Vladas; Abry, Patrice Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding. (English) Zbl 1221.62123 Signal Process. 91, No. 5, 1123-1133 (2011). MSC: 62M10 62M15 65C60 × Cite Format Result Cite Review PDF Full Text: DOI
Marouby, Matthieu Simulation of a local time fractional stable motion. (English) Zbl 1216.60045 Donati-Martin, Catherine (ed.) et al., Séminaire de Probabilités XLIII, Poitiers, France, Juin 2009. Berlin: Springer (ISBN 978-3-642-15216-0/pbk; 978-3-642-15217-7/ebook). Lecture Notes in Mathematics 2006, 221-239 (2011). MSC: 60G52 60G18 60F25 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Zhang, Qiang; Lai, Dejian Fractional Brownian motion and long term clinical trial recruitment. (English) Zbl 1207.62215 J. Stat. Plann. Inference 141, No. 5, 1783-1788 (2011). MSC: 62P10 60J70 × Cite Format Result Cite Review PDF Full Text: DOI Link
Lai, Dejian Group sequential tests under fractional Brownian motion in monitoring clinical trials. (English) Zbl 1333.62277 Stat. Methods Appl. 19, No. 2, 277-286 (2010). MSC: 62P10 62L10 60J65 × Cite Format Result Cite Review PDF Full Text: DOI
Iacone, Fabrizio Local Whittle estimation of the memory parameter in presence of deterministic components. (English) Zbl 1224.62057 J. Time Ser. Anal. 31, No. 1, 37-49 (2010). Reviewer: Mikhail Moklyachuk (Kyïv) MSC: 62M10 62F12 65C05 × Cite Format Result Cite Review PDF Full Text: DOI
Chen, Willa W. Efficiency in estimation of memory. (English) Zbl 1233.62057 J. Stat. Plann. Inference 140, No. 12, 3820-3840 (2010). MSC: 62G05 62M15 62M10 62E20 65C60 × Cite Format Result Cite Review PDF Full Text: DOI
Zhang, Qiang; Lai, Dejian Operating characteristics for group sequential trials monitored under fractional Brownian motion. (English) Zbl 1192.62190 Commun. Stat., Simulation Comput. 39, No. 4, 705-712 (2010). MSC: 62L15 60J65 62M99 62P10 62L10 × Cite Format Result Cite Review PDF Full Text: DOI
Wishart, Justin Kink estimation with correlated noise. (English) Zbl 1293.62083 J. Korean Stat. Soc. 38, No. 2, 131-143 (2009). MSC: 62G05 62G20 26A33 × Cite Format Result Cite Review PDF Full Text: DOI
Sela, Rebecca J.; Hurvich, Clifford M. Computationally efficient methods for two multivariate fractionally integrated models. (English) Zbl 1224.62069 J. Time Ser. Anal. 30, No. 6, 631-651 (2009). Reviewer: Mikhail Moklyachuk (Kyïv) MSC: 62M10 65C60 62H12 65C05 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Davidson, James; Hashimzade, Nigar Type I and type II fractional Brownian motions: a reconsideration. (English) Zbl 1453.62077 Comput. Stat. Data Anal. 53, No. 6, 2089-2106 (2009). MSC: 62-08 62M10 60G22 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Caiado, Jorge; Crato, Nuno; Peña, Daniel Comparison of times series with unequal length in the frequency domain. (English) Zbl 1161.37348 Commun. Stat., Simulation Comput. 38, No. 3, 527-540 (2009). MSC: 37M10 62H30 × Cite Format Result Cite Review PDF Full Text: DOI HAL
Aït-Sahalia, Yacine; Mancini, Loriano Out of sample forecasts of quadratic variation. (English) Zbl 1429.62648 J. Econom. 147, No. 1, 17-33 (2008). MSC: 62P20 62M10 62P05 91B84 × Cite Format Result Cite Review PDF Full Text: DOI Link
Hidalgo, J. Specification testing for regression models with dependent data. (English) Zbl 1418.62331 J. Econom. 143, No. 1, 143-165 (2008). MSC: 62M10 62G10 62G07 62G09 62E20 62G20 62P20 × Cite Format Result Cite Review PDF Full Text: DOI Link
Zunino, L.; Pérez, D. G.; Martín, M. T.; Garavaglia, M.; Plastino, A.; Rosso, O. A. Permutation entropy of fractional Brownian motion and fractional Gaussian noise. (English) Zbl 1221.60051 Phys. Lett., A 372, No. 27-28, 4768-4774 (2008). MSC: 60G22 60H40 37D45 × Cite Format Result Cite Review PDF Full Text: DOI
Gonçalves da Silva, Afonso; Robinson, Peter M. Fractional cointegration in stochastic volatility models. (English) Zbl 1284.62556 Econom. Theory 24, No. 5, 1207-1253 (2008). MSC: 62M10 91B70 65C05 × Cite Format Result Cite Review PDF Full Text: DOI
Pong, Shiuyan; Shackleton, Mark B.; Taylor, Stephen J. Distinguishing short and long memory volatility specifications. (English) Zbl 1153.91556 Econom. J. 11, No. 3, 617-637 (2008). MSC: 91B28 91B82 × Cite Format Result Cite Review PDF Full Text: DOI
De Giovanni, Livia; Naldi, Maurizio Tests of correlation among wavelet-based estimates for long memory processes. (English) Zbl 1132.62076 Commun. Stat., Simulation Comput. 37, No. 2, 301-313 (2008). MSC: 62M10 62G10 42C40 62M07 × Cite Format Result Cite Review PDF Full Text: DOI
Mielniczuk, J.; Wojdyłło, P. Estimation of Hurst exponent revisited. (English) Zbl 1162.62404 Comput. Stat. Data Anal. 51, No. 9, 4510-4525 (2007). MSC: 62M10 62F10 65T60 62G05 × Cite Format Result Cite Review PDF Full Text: DOI
Boutahar, Mohamed; Marimoutou, Vêlayoudom; Nouira, Leïla Estimation methods of the long memory parameter: Monte Carlo analysis and application. (English) Zbl 1157.62059 J. Appl. Stat. 34, No. 3-4, 261-301 (2007). MSC: 62M10 65C05 62M09 62P05 × Cite Format Result Cite Review PDF Full Text: DOI
Poskitt, D. S. Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases. (English) Zbl 1133.62352 Ann. Inst. Stat. Math. 59, No. 4, 697-725 (2007). MSC: 62M10 62F12 60F05 × Cite Format Result Cite Review PDF Full Text: DOI
Di Nardo, Elvira; Nobile, Amelia G.; Pirozzi, Enrica; Ricciardi, Luigi M. Gaussian processes and neuronal modeling. (English) Zbl 1123.92003 Nat. Comput. 6, No. 3, 283-310 (2007). MSC: 92C20 60G35 60J70 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Almasri, Abdullah; Holmquist, Björn; Hussain, Shakir Impact of the periodicity and trend on the FD parameter estimation. (English) Zbl 1108.62084 J. Stat. Comput. Simulation 77, No. 1-2, 79-87 (2007). MSC: 62M10 62F10 65T60 × Cite Format Result Cite Review PDF Full Text: DOI
Delignieres, Didier; Ramdani, Sofiane; Lemoine, Loïc; Torre, Kjerstin; Fortes, Marina; Ninot, Grégory Fractal analyses for ‘short’ time series: A re-assessment of classical methods. (English) Zbl 1105.62085 J. Math. Psychol. 50, No. 6, 525-544 (2006). MSC: 62M10 62M15 28A80 37M10 65C60 × Cite Format Result Cite Review PDF Full Text: DOI
Shieh, Shwu-Jane Long memory and sampling frequencies: evidence in stock index futures markets. (English) Zbl 1138.91582 Int. J. Theor. Appl. Finance 9, No. 5, 787-799 (2006). MSC: 91B84 91B82 × Cite Format Result Cite Review PDF Full Text: DOI
Lazarová, Štěpána Testing for structural change in regression with long memory processes. (English) Zbl 1337.62222 J. Econom. 129, No. 1-2, 329-372 (2005). MSC: 62M07 62M10 62F05 62F40 × Cite Format Result Cite Review PDF Full Text: DOI Link
Banerjee, Anindya (ed.); Urga, Giovanni (ed.) Modelling structural breaks, long memory and stock market volatility: an overview. (English) Zbl 1335.00139 J. Econom. 129, No. 1-2, 1-34 (2005). MSC: 00B25 62-06 62P05 91B84 91G70 × Cite Format Result Cite Review PDF Full Text: DOI
Hidalgo, Javier Semiparametric estimation for stationary processes whose spectra have an unknown pole. (English) Zbl 1078.62098 Ann. Stat. 33, No. 4, 1843-1889 (2005). MSC: 62M15 62G20 62G08 62G05 62E20 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Di Nardo, E. On the connection between orthant probabilities and the first passage time problem. (English) Zbl 1122.62324 J. Stat. Comput. Simulation 75, No. 6, 437-445 (2005). MSC: 62M10 65C60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Craigmile, Peter F. Approximate wavelet-based simulation of long memory processes. (English) Zbl 1061.62131 J. Stat. Comput. Simulation 75, No. 5, 363-379 (2005). MSC: 62M10 65C20 65T60 × Cite Format Result Cite Review PDF Full Text: DOI
Arteche, Josu Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models. (English) Zbl 1337.62241 J. Econom. 119, No. 1, 131-154 (2004). MSC: 62M10 62G05 62P05 91B70 × Cite Format Result Cite Review PDF Full Text: DOI
Lai, Dejian Estimating the Hurst effect and its application in monitoring clinical trials. (English) Zbl 1429.62559 Comput. Stat. Data Anal. 45, No. 3, 549-562 (2004). MSC: 62P10 60G22 62M09 × Cite Format Result Cite Review PDF Full Text: DOI
Jackson, B. Scott Including long-range dependence in integrate-and-fire models of the high interspike-interval variability of cortical neurons. (English) Zbl 1061.92021 Neural Comput. 16, No. 10, 2125-2195 (2004). MSC: 92C20 60G35 × Cite Format Result Cite Review PDF Full Text: DOI
Hidalgo, J.; Yajima, Y. Semiparametric estimation of the long-range parameter. (English) Zbl 1047.62083 Ann. Inst. Stat. Math. 55, No. 4, 705-736 (2003). MSC: 62M15 62G20 62G05 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Hidalgo, Javier An alternative bootstrap to moving blocks for time series regression models. (English) Zbl 1029.62041 J. Econom. 117, No. 2, 369-399 (2003). MSC: 62G09 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Wright, Jonathan H. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. (English) Zbl 1066.91563 Econom. Rev. 21, No. 4, 397-417 (2002). MSC: 91B28 91B82 × Cite Format Result Cite Review PDF Full Text: DOI
Robinson, P. M. The memory of stochastic volatility models. (English) Zbl 0966.62079 J. Econom. 101, No. 2, 195-218 (2001). MSC: 62P05 91B84 91B28 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Bollerslev, Tim; Wright, Jonathan H. Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data. (English) Zbl 0966.62078 J. Econom. 98, No. 1, 81-106 (2000). MSC: 62P05 91B84 62G08 62G05 62P20 × Cite Format Result Cite Review PDF Full Text: DOI
Robinson, P. M.; Hidalgo, F. J. Time series regression with long-range dependence. (English) Zbl 0870.62072 Ann. Stat. 25, No. 1, 77-104 (1997). MSC: 62M10 60G18 62F12 62J05 62J02 60F05 × Cite Format Result Cite Review PDF Full Text: DOI
Hall, Peter; Wood, Andrew T. A. Approximations to distributions of statistics used for testing hypotheses about the number of modes of a population. (English) Zbl 0936.62043 J. Stat. Plann. Inference 55, No. 3, 299-317 (1996). MSC: 62G07 62G10 60G15 62E20 × Cite Format Result Cite Review PDF Full Text: DOI
Lobato, I.; Robinson, P. M. Averaged periodogram estimation of long memory. (English) Zbl 0854.62088 J. Econom. 73, No. 1, 303-324 (1996). MSC: 62M15 62E20 × Cite Format Result Cite Review PDF Full Text: DOI
Baillie, Richard T. Long memory processes and fractional integration in econometrics. (English) Zbl 0854.62099 J. Econom. 73, No. 1, 5-59 (1996). MSC: 62P20 62M10 91B84 × Cite Format Result Cite Review PDF Full Text: DOI
Comte, F. Simulation and estimation of long memory continuous time models. (English) Zbl 0836.62060 J. Time Ser. Anal. 17, No. 1, 19-36 (1996). MSC: 62M10 62M20 65C05 62F10 × Cite Format Result Cite Review PDF Full Text: DOI
Hidalgo, Javier; Robinson, Peter M. Testing for structural change in a long-memory environment. (English) Zbl 0834.62084 J. Econom. 70, No. 1, 159-174 (1996). MSC: 62M10 62P20 62F03 × Cite Format Result Cite Review PDF Full Text: DOI
Hauser, Michael A.; Reschenhofer, Erhard Estimation of the fractionally differencing parameter with the R/S method. (English) Zbl 0900.62463 Comput. Stat. Data Anal. 20, No. 5, 569-579 (1995). MSC: 62M10 × Cite Format Result Cite Review PDF Full Text: DOI
Chambers, M. J. The simulation of random vector time series with given spectrum. (English) Zbl 0831.62067 Math. Comput. Modelling 22, No. 2, 1-6 (1995). MSC: 62M10 62M15 65C99 × Cite Format Result Cite Review PDF Full Text: DOI
Robinson, P. M. Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression. (English) Zbl 0734.62070 J. Econom. 47, No. 1, 67-84 (1991). MSC: 62J05 62F03 62J20 62M10 × Cite Format Result Cite Review PDF Full Text: DOI