Rescaled Range Analysis in Higher Dimensions
نویسندگان
چکیده
منابع مشابه
Rescaled Range Analysis in the Presence of Stochastic Trend
We study the limiting behaviour of the prominent R/S test statistic, aimed at detecting long–range dependence, if instead of long memory a stochastic trend given by cumulative random shocks is present. As the main result we derive the convergence rate of the R/S statistic to its limit. AMS 2000 Subject Classification: Primary 62M10; Secondary 91B70
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ژورنال
عنوان ژورنال: Research Journal of Applied Sciences, Engineering and Technology
سال: 2013
ISSN: 2040-7459,2040-7467
DOI: 10.19026/rjaset.5.4362