Approximating the Distribution of the R/s Statistic
Download full text from publisher
Other versions of this item:
- Denis Conniffe & John E. Spencer, 1999. "Approximating the Distribution of the R/s Statistic," Papers WP104, Economic and Social Research Institute (ESRI).
References listed on IDEAS
- Mandelbrot, Benoit B, 1971. "When Can Price Be Arbitraged Efficiently? A Limit to the Validity of the Random Walk and Martingale Models," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 225-236, August.
- B. Mandelbrot, 1972. "Statistical Methodology for Nonperiodic Cycles: From the Covariance To R/S Analysis," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 1, number 3, pages 259-290 National Bureau of Economic Research, Inc.
- Ploberger, Werner & Kramer, Walter, 1992. "The CUSUM Test with OLS Residuals," Econometrica, Econometric Society, vol. 60(2), pages 271-285, March.
- Michael Harrison & Glenn Treacy, 1997. "On the Small Sample Distribution of the R/S Statistic," Economics Technical Papers 976, Trinity College Dublin, Department of Economics.
- Denis Conniffe & John E. Spencer, 1999. "Approximating the Distribution of the Maximum Partial Sum of Normal Deviates," Papers WP102, Economic and Social Research Institute (ESRI).
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Marwan Izzeldin & Anthony Murphy, 2000. "Bootstrapping the Small Sample Critical Values of the Rescaled Range Statistic," The Economic and Social Review, Economic and Social Studies, vol. 31(4), pages 351-359.
- Sánchez Granero, M.A. & Trinidad Segovia, J.E. & García Pérez, J., 2008. "Some comments on Hurst exponent and the long memory processes on capital markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(22), pages 5543-5551.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eso:journl:v:31:y:2000:i:3:p:237-248. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Martina Lawless). General contact details of provider: https://www.esr.ie .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.