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Robustness of the R / S Statistic for Fractional Stable Noises

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  • Florin Avram
  • Murad Taqqu

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  • Florin Avram & Murad Taqqu, 2000. "Robustness of the R / S Statistic for Fractional Stable Noises," Statistical Inference for Stochastic Processes, Springer, vol. 3(1), pages 69-83, January.
    • Handle: RePEc:spr:sistpr:v:3:y:2000:i:1:p:69-83
    DOI: 10.1023/A:1009919307631
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    References listed on IDEAS

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    1. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
    2. Ward Whitt, 1980. "Some Useful Functions for Functional Limit Theorems," Mathematics of Operations Research, INFORMS, vol. 5(1), pages 67-85, February.
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