Various authors claim to have found evidence of stochastic long‐memory behavior in futures’ contract returns using the Hurst statistic. This paper reexamines futures’ returns for evidence of persistent behavior using a biased‐corrected version of the Hurst statistic, a nonparametric...

We propose a new semiparametric estimator of the degree of persistence in volatility for long memory stochastic volatility (LMSV) models. The estimator uses the periodogram of the log squared returns in a local Whittle criterion which explicitly accounts for the noise term in the LMSV model....

We describe the use of a latent Markov process governing the parameters of a nonhomogeneous Poisson process (NHPP) model for characterizing the software development defect discovery process. Use of a Markov switching process allows us to characterize non-smooth variations in the rate at which...

Distinguishing among linear and nonlinear time series or between nonlinear time series generated by different underlying processes is challenging, as second-order properties are generally insufficient for the task. Different nonlinear processes have different nonconstant bispectral signatures,...