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Semi-parametric estimation of long-range dependence index in infinite variance time series

Peng, L


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

CollectionsANU Research Publications
Date published: 2001
Type: Journal article
Source: Statistics and Probability Letters
DOI: 10.1016/S0167-7152(00)00122-X


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