the length of equal minimal and maximal blocks has eected on logarithm-scale logarithm against sequential function on variance and bias of de-trended uctuation analysis, by using quasi monte carlo(qmc) simulation and cholesky decompositions, minimal block couple and maximal are founded which are minimum the summation of mean error square in horest power.

The notion of long range dependence is discussed from a variety of points of view, and a new approach is suggested. A number of related topics is also discussed, including connections with non-stationary processes, with ergodic theory, self-similar processes and fractionally differenced processes, heavy tails and light tails, limit theorems and large deviations.

In this section a discussion of the evolution of a notion of strong mixing as a measure of short range dependence and with additional restrictions a sufficient condition for a central limit theorem, is given. In the next section I will give a characterization of strong mixing for stationary Gaussian sequences. In Sect. 3 I will give a discussion of processes subordinated to Gaussian processes a...

The presence of stock market efficiency is a distinctive characteristic of the effectively functioning market economy. Investigation of the market efficiency of seven emerging East-European stock exchanges is carried out as their major stock indices (BELEX15, BET, CROBEX, ISE100, PFTS, RTSI, SOFIX) are studied in respect of long-range dependence (LRD), persistency, and forecasting possibili...

This paper used cross-sectional aggregation as the inspiration for a model with long-range dependence that arises in actual data. One of advantages our is it less brittle than fractionally integrated processes. In particular, we showed antipersistent phenomenon not present cross-sectionally aggregated process. We proved this has implications estimators frequency domain, which will be misspecifi...

Ordinal pattern dependence is a multivariate measure based on the co-movement of two time series. In strong connection to ordinal series analysis, information taken into account derive robust results between processes. This article deals with for long-range dependent including mixed cases short- and dependence. We investigate limit distributions estimators doing so we point out differences that...