Browsing by Subject "fractional Brownian motion"

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Browsing by Subject "fractional Brownian motion"

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    Title: Fractional Integration and Cointegration Testing Using the Sample Mean  Author(s): DEMETRESCU, Matei Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI MWP Abstract: The convergence rate of the sample mean of fractionally integrated processes is exploited to build test statistics for the fractional integration parameter d of univariate series, as well as for the rank of fractional ...