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Integrated approach to the assessment of long range correlation in time series data
8 references·13 citing·29 second hop
Integrated approach to the assessment of long range correlation in time series data (2000)Integrated approach to the assessment of …Long Memory Processes ( 1/fα Type) in Human Coordination (1997)Long Memory Processes ( 1/fα …Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)ESTIMATORS FOR LONG-RANGE DEP…The Hurst effect under trends (1983)The Hurst effect under trendsFractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …The Typical Spectral Shape of an Economic Variable (1966)The Typical Spectral Shape of…Long-Term Storage: An Experimental Study. (1966)Long-Term Storage: An Experim…Exploring the financial risk of a temperature index: a fractional integrated approach (2018)Exploring the financial risk …Quantification of Long-Range Persistence in Geophysical Time Series: Conventional and Benchmark-Based Improvement Techniques (2013)Quantification of Long-Range …Fractal dimension algorithms and their application to time series associated with natural phenomena (2013)Fractal dimension algorithms …Multifractal moving average analysis and test of multifractal model with tuned correlations (2011)Multifractal moving average a…Fractal and Multifractal Time Series (2011)Fractal and Multifractal Time…Return interval distribution of extreme events and long-term memory (2008)Return interval distribution …Detrending moving average algorithm: A closed-form approximation of the scaling law (2007)Detrending moving average alg…Algorithm to estimate the Hurst exponent of high-dimensional fractals (2007)Algorithm to estimate the Hur…Testing for the presence of 1/f noise in continuation tapping data. (2006)Testing for the presence of 1…Detection of long‐range dependence and estimation of fractal exponents through ARFIMA modelling (2006)Detection of long‐range depen…Assessment of long-range correlation in time series: How to avoid pitfalls (2006)Assessment of long-range corr…The fractal dynamics of self-esteem and physical self. (2004)The fractal dynamics of self-…Analysis of clusters formed by the moving average of a long-range correlated time series (2004)Analysis of clusters formed b…The Hurst Phenomenon: A puzzle? (1974)A Bibliographical Guide to Self-Similar Processes and Long-Range Dependence (1986)On discriminating between long-range dependence and changes in mean (2006)A Brief History of Long Memory: Hurst, Mandelbrot and the Road to ARFIMA, 1951–1980 (2017)Wavelet analysis of long-range-dependent traffic (1998)Power spectrum and detrended fluctuation analysis: Application to daily temperatures (2000)Multifractal analysis of sunspot time series: the effects of the 11-year cycle and Fourier truncation (2009)Culturomics meets random fractal theory: insights into long-range correlations of social and natural phenomena over the past two centuries (2012)Detrended Partial-Cross-Correlation Analysis: A New Method for Analyzing Correlations in Complex System (2015)Effect of trends on detrended fluctuation analysis (2001)Effect of nonstationarities on detrended fluctuation analysis (2002)Detrending fluctuation analysis based on moving average filtering (2005)Analysis of the efficiency and multifractality of gold markets based on multifractal detrended fluctuation analysis (2010)Complexity testing techniques for time series data: A comprehensive literature review (2015)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS (1983)Empirical properties of asset returns: stylized facts and statistical issues (2001)A stochastic model of human gait dynamics (2002)Non-random fluctuations and multi-scale dynamics regulation of human activity (2004)Multifractal detrended cross-correlation analysis for two nonstationary signals (2008)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)Long memory processes and fractional integration in econometrics (1996)Measuring the Frequency Dynamics of Financial Connectedness and Systemic Risk* (2018)Scaling of the distribution of fluctuations of financial market indices (1999)Robust dynamic classes revealed by measuring the response function of a social system (2008)Computer Experiments With Fractional Gaussian Noises: Part 1, Averages and Variances (1969)Some long‐run properties of geophysical records (1969)Detecting long-range correlations with detrended fluctuation analysis (2001)
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References

  • 1968Fractional Brownian Motions, Fractional Noises and Applications7,658 cited
  • 1996Statistics for Long-Memory Processes.2,686 cited
  • 1996Statistics for Long-Memory Processes.1,480 cited
  • 1995ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY1,189 cited
  • 1966Long-Term Storage: An Experimental Study.766 cited
  • 1966The Typical Spectral Shape of an Economic Variable663 cited
  • 1997Long Memory Processes ( 1/fα Type) in Human Coordination288 cited
  • 1983The Hurst effect under trends213 cited

Cited by

  • 2004Analysis of clusters formed by the moving average of a long-range correlated time series167 cited
  • 2006Assessment of long-range correlation in time series: How to avoid pitfalls153 cited
  • 2007Detrending moving average algorithm: A closed-form approximation of the scaling law116 cited
  • 2004The fractal dynamics of self-esteem and physical self.115 cited
  • 2008Return interval distribution of extreme events and long-term memory113 cited
  • 2011Fractal and Multifractal Time Series108 cited
  • 2013Quantification of Long-Range Persistence in Geophysical Time Series: Conventional and Benchmark-Based Improvement Techniques

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107 cited
  • 2007Algorithm to estimate the Hurst exponent of high-dimensional fractals97 cited
  • 2011Multifractal moving average analysis and test of multifractal model with tuned correlations96 cited
  • 2006Detection of long‐range dependence and estimation of fractal exponents through ARFIMA modelling91 cited
  • 2013Fractal dimension algorithms and their application to time series associated with natural phenomena73 cited
  • 2006Testing for the presence of 1/f noise in continuation tapping data.64 cited
  • 2018Exploring the financial risk of a temperature index: a fractional integrated approach37 cited