Semi-parametric estimation of long-range dependence index in infinite variance time series
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Description
Suppose our data {Xn} come from the model Xt=∑j=0∞cjZt-j, where {Zn} are i.i.d. with a symmetric distribution function which lies in the domain of normal attraction of a stable law with index α∈(1,2). Further we assume that cj=jd-1L(j), where param
Collections | ANU Research Publications |
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Date published: | 2001 |
Type: | Journal article |
URI: | http://hdl.handle.net/1885/69610 |
Source: | Statistics and Probability Letters |
DOI: | 10.1016/S0167-7152(00)00122-X |
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01_Peng_Semi-parametric_estimation_of_2001.pdf | 95.29 kB | Adobe PDF | Request a copy |
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