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LASS: a tool for the local analysis of self-similarity
14 references·0 citing·32 second hop
LASS: a tool for the local analysis of self-similarity (2005)LASS: a tool for the local analysis of se…Theory and applications of long-range dependence (2003)Theory and applications of lo…Is Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion? (2002)Is Network Traffic Appriximat…Wavelet Estimator of Long-Range Dependent Processes (2000)Wavelet Estimator of Long-Ran…Identification and properties of real harmonizable fractional Levy motions (2000)Identification and properties…A wavelet-based joint estimator of the parameters of long-range dependence (1999)A wavelet-based joint estimat…Wavelet analysis of long-range-dependent traffic (1998)Wavelet analysis of long-rang…Identifying the multifractional function of a Gaussian process (1998)Identifying the multifraction…Testing for a change of the long-memory parameter (1996)Testing for a change of the l…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…Statistics for Long-Memory Processes. (1996)Statistics for Long-Memory Pr…G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance (1996)G.Samorodnitsky,M.S.Taqqu:Sta…Gaussian Semiparametric Estimation of Long Range Dependence (1995)Gaussian Semiparametric Estim…Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Weak convergence to fractiona…Fractional Brownian Motions, Fractional Noises and Applications (1968)Fractional Brownian Motions, …Extreme Values, Regular Variation and Point Processes (1987)Stopped Random Walks (1988)Heavy Tails and Long Range Dependence in On/Off Processes and Associated Fluid Models (1998)SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM (2004)Modeling teletraffic arrivals by a Poisson cluster process (2006)Activity signature functions for high-frequency data analysis (2009)The Typical Spectral Shape of an Economic Variable (1966)AN INTRODUCTION TO LONG‐MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING (1980)Empirical properties of asset returns: stylized facts and statistical issues (2001)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)ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY (1995)A multifractal wavelet model with application to network traffic (1999)Stock market prices and long-range dependence (1999)Fractional Differencing (1981)Bootstrap for Empirical Multifractal Analysis (2007)Fractal Time Series—A Tutorial Review (2009)Interaction-dominant dynamics in human cognition: Beyond 1/ƒα fluctuation. (2010)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)Statistical properties of the volatility of price fluctuations (1999)The Distribution of Realized Exchange Rate Volatility (2001)A critical look at Lo's modified R/S statistic (1999)Regular variation of GARCH processes (2002)Arbitrage in fractional Brownian motion models (2003)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)Volatility Clustering in Financial Markets: Empirical Facts and Agent-Based Models (2006)
this work references cited by second hop

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
  • 1995Gaussian Semiparametric Estimation of Long Range Dependence1,476 cited
  • 2003Theory and applications of long-range dependence989 cited
  • 1998Wavelet analysis of long-range-dependent traffic957 cited
  • 1975Weak convergence to fractional brownian motion and to the rosenblatt process794 cited
  • 1996G.Samorodnitsky,M.S.Taqqu:Stable non-Gaussian Random Processes--Stochastic Models with Infinite Variance559 cited
  • 1999A wavelet-based joint estimator of the parameters of long-range dependence511 cited
  • 2002Is Network Traffic Appriximated by Stable Lévy Motion or Fractional Brownian Motion?270 cited
  • 1996Testing for a change of the long-memory parameter139 cited
  • 1998Identifying the multifractional function of a Gaussian process133 cited
  • 2000Wavelet Estimator of Long-Range Dependent Processes72 cited
  • 2000Identification and properties of real harmonizable fractional Levy motions55 cited

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