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Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes
11 references·1 citing·29 second hop
Asymptotic Properties of the Detrended Fluctuation Analysis of Long-Range-Dependent Processes (2008)Asymptotic Properties of the Detrended Fl…On the Spectral Density of the Wavelet Coefficients of Long‐Memory Time Series with Application to the Log‐Regression Estimation of the Memory Parameter (2006)On the Spectral Density of th…Generators of long-range dependent processes: A survey (2003)Generators of long-range depe…Scaling properties of fluctuations in the human electroencephalogram (2002)Scaling properties of fluctua…Effect of nonstationarities on detrended fluctuation analysis (2002)Effect of nonstationarities o…Effect of trends on detrended fluctuation analysis (2001)Effect of trends on detrended…Detecting long-range correlations with detrended fluctuation analysis (2001)Detecting long-range correlat…A wavelet-based joint estimator of the parameters of long-range dependence (1999)A wavelet-based joint estimat…Long‐range Dependence: Revisiting Aggregation with Wavelets (1998)Long‐range Dependence: Revisi…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)ESTIMATORS FOR LONG-RANGE DEP…Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Weak convergence to fractiona…Establishing a direct connection between detrended fluctuation analysis and Fourier analysis (2015)Establishing a direct connect…An Introduction to Wavelets and Other Filtering Methods in Finance and Economics (2002)Theory and applications of long-range dependence (2003)Estimators of long-memory: Fourier versus wavelets (2009)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Exact Local Whittle Estimation of Fractional \nIntegration (2002)Social Capital and the Dynamics of Trust in Government (2007)THE EVOLUTION OF STOCK MARKET EFFICIENCY OVER TIME: A SURVEY OF THE EMPIRICAL LITERATURE (2010)Long-Term Storage: An Experimental Study. (1966)Introduction to Multifractal Detrended Fluctuation Analysis in Matlab (2012)Fractional Differencing (1981)Statistics for Long-Memory Processes. (1996)Bootstrap for Empirical Multifractal Analysis (2007)Fractal Time Series—A Tutorial Review (2009)Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation. (2010)Fractional Brownian Motions, Fractional Noises and Applications (1968)Robustness of the rescaled range R/S in the measurement of noncyclic long run statistical dependence (1969)Convergence of integrated processes of arbitrary Hermite rank (1979)On the power of the KPSS test of stationarity against fractionally-integrated alternatives (1996)Stein’s method on Wiener chaos (2008)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Cross-correlations between volume change and price change (2009)DCCA cross-correlation coefficient: Quantifying level of cross-correlation (2010)Statistical tests for power-law cross-correlated processes (2011)Multifractal analysis of financial markets: a review (2019)Wavelet Estimator of Long-Range Dependent Processes (2000)Wavelet-based estimators of scaling behavior (2002)Wavelet based hurst exponent and fractal dimensional analysis of Saudi climatic dynamics (2007)Wavelet analysis of long-range-dependent traffic (1998)Correlations and cross-correlations in the Brazilian agrarian commodities and stocks (2010)
this work references cited by second hop

References

  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 2001Detecting long-range correlations with detrended fluctuation analysis1,401 cited
  • 2001Effect of trends on detrended fluctuation analysis1,285 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,189 cited
  • 2002Effect of nonstationarities on detrended fluctuation analysis958 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 1999A wavelet-based joint estimator of the parameters of long-range dependence511 cited
  • 2002Scaling properties of fluctuations in the human electroencephalogram152 cited
  • 1998Long‐range Dependence: Revisiting Aggregation with Wavelets147 cited
  • 2006On the Spectral Density of the Wavelet Coefficients of Long‐Memory Time Series with Application to the Log‐Regression Estimation of the Memory Parameter92 cited
  • 2003Generators of long-range dependent processes: A survey92 cited

Cited by

  • 2015Establishing a direct connection between detrended fluctuation analysis and Fourier analysis68 cited

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