Li, Wen; Yu, Cindy; Carriquiry, Alicia; Kliemann, Wolfgang - In: Statistics & Probability Letters 81 (2011) 1, pp. 83-91
This paper provides a proof of the fact that asymptotically the R/S statistic and the self-similarity index of fractional Brownian motion agree in the expectation sense. In particular for fractional Gaussian noise time series, the R/S statistic is an estimator of the self-similarity index H. We...
