DMCA
Rescaled Range Analysis in the Presence of Stochastic Trend
by
Alexander Aue
,
Lajos Horváth
,
Josef Steinebach
BibTeX
@MISC{Aue_rescaledrange,
author = {Alexander Aue and Lajos Horváth and Josef Steinebach},
title = {Rescaled Range Analysis in the Presence of Stochastic Trend},
year = {}
}
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Abstract
Abstract: 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.
