Browsing ECO Working Papers by Subject "fractional Brownian motion"

DSpace/Manakin Repository

Browsing ECO Working Papers by Subject "fractional Brownian motion"

Sort by: Order: Results:

  • Icon
    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 ...