Estimation of Hurst exponent revisited
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- Donald W.K. Andrews & Yixiao Sun, 2002.
"Adaptive Local Polynomial Whittle Estimation of Long-range Dependence,"
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1384, Cowles Foundation for Research in Economics, Yale University.
- Donald W. K. Andrews & Yixiao Sun, 2004. "Adaptive Local Polynomial Whittle Estimation of Long-range Dependence," Econometrica, Econometric Society, vol. 72(2), pages 569-614, 03.
- ANDREWS, DONALD W & Sun, Yixiao X, 2002. "Adaptive Local Polynomial Whittle Estimation of Long-Range Dependence," University of California at San Diego, Economics Working Paper Series qt9wt048tt, Department of Economics, UC San Diego.
- Lai, Dejian, 2004. "Estimating the Hurst effect and its application in monitoring clinical trials," Computational Statistics & Data Analysis, Elsevier, vol. 45(3), pages 549-562, April.
- Clifford M. Hurvich & Eric Moulines & Philippe Soulier, 2005.
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- Stoev, Stilian & Taqqu, Murad S. & Park, Cheolwoo & Michailidis, George & Marron, J.S., 2006. "LASS: a tool for the local analysis of self-similarity," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2447-2471, May.
- Denis Kwiatkowski & Peter C.B. Phillips & Peter Schmidt, 1991.
"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?,"
Cowles Foundation Discussion Papers
979, Cowles Foundation for Research in Economics, Yale University.
- Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "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?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
- Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers 8905, Michigan State - Econometrics and Economic Theory.
- Tom Doan, . "KPSS: RATS procedure to perform KPSS (Kwiatowski, Phillips, Schmidt, and Shin) stationarity test," Statistical Software Components RTS00100, Boston College Department of Economics.
- Arteche, Josu, 2004.
"Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models,"
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Elsevier, vol. 119(1), pages 131-154, March.
- Arteche González, Jesús María, 2002. "Gaussian Semiparametric Estimation in Long Memory in Stochastic Volatility and Signal Plus Noise Models," BILTOKI 2002-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Clifford M. Hurvich & Bonnie K. Ray, 2003. "The Local Whittle Estimator of Long-Memory Stochastic Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(3), pages 445-470.
- Giraitis, Liudas & Kokoszka, Piotr & Leipus, Remigijus & Teyssiere, Gilles, 2003. "Rescaled variance and related tests for long memory in volatility and levels," Journal of Econometrics, Elsevier, vol. 112(2), pages 265-294, February.
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