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The Law of Iterated Logarithm of Rescaled Range Statistics for AR(1) Model
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Let {Xn,n ≥ 0} be an AR(1) process. Let Q(n) be the rescaled range statistic, or the R/S statistic for {Xn} which is given by (max1≤k≤n(∑kj=1(Xj - (-X)n)) - min1≤k≤n(∑kj=1(Xj -(-X)n)))/(n-1 ∑n j=1(Xj - (-X)n)2)1/2 where (-X)n = n-1 ∑nj=1 Xj. In this paper we show a law of iterated logarithm for rescaled range statistics Q(n) for AR(1) model.
Rescaled range statisticsLaw of iterated logarithmAR(1) model
Zheng Yan LIN、Sung Chul LEE
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Department of Mathematics, Zhejiang University, Hangzhou 310028, P. R. China
Department of Mathematics, Yonsei University, Seoul 120-749, Korea
国家自然科学基金国家自然科学基金BK21 Project of the Department of Mathematics, Yonsei UniversityInterdisciplinary Research Program
NETL
NSTL
维普
万方数据
