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

Peng, L

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

dc.contributor.authorPeng, L
dc.date.accessioned2015-12-10T23:34:52Z
dc.identifier.issn0167-7152
dc.identifier.urihttp://hdl.handle.net/1885/69610
dc.description.abstractSuppose 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
dc.publisherElsevier
dc.sourceStatistics and Probability Letters
dc.subjectKeywords: Long-range dependence; Semi-parametric frequency domain estimation; Stable law
dc.titleSemi-parametric estimation of long-range dependence index in infinite variance time series
dc.typeJournal article
local.description.notesImported from ARIES
local.description.refereedYes
local.identifier.citationvolume51
dc.date.issued2001
local.identifier.absfor010405 - Statistical Theory
local.identifier.ariespublicationMigratedxPub2072
local.type.statusPublished Version
local.contributor.affiliationPeng, L, College of Physical and Mathematical Sciences, ANU
local.description.embargo2037-12-31
local.bibliographicCitation.startpage101
local.bibliographicCitation.lastpage109
local.identifier.doi10.1016/S0167-7152(00)00122-X
dc.date.updated2015-12-10T11:36:47Z
local.identifier.scopusID2-s2.0-0042867409
CollectionsANU Research Publications

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