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
dc.contributor.author | Peng, L | |
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dc.date.accessioned | 2015-12-10T23:34:52Z | |
dc.identifier.issn | 0167-7152 | |
dc.identifier.uri | http://hdl.handle.net/1885/69610 | |
dc.description.abstract | 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.publisher | Elsevier | |
dc.source | Statistics and Probability Letters | |
dc.subject | Keywords: Long-range dependence; Semi-parametric frequency domain estimation; Stable law | |
dc.title | Semi-parametric estimation of long-range dependence index in infinite variance time series | |
dc.type | Journal article | |
local.description.notes | Imported from ARIES | |
local.description.refereed | Yes | |
local.identifier.citationvolume | 51 | |
dc.date.issued | 2001 | |
local.identifier.absfor | 010405 - Statistical Theory | |
local.identifier.ariespublication | MigratedxPub2072 | |
local.type.status | Published Version | |
local.contributor.affiliation | Peng, L, College of Physical and Mathematical Sciences, ANU | |
local.description.embargo | 2037-12-31 | |
local.bibliographicCitation.startpage | 101 | |
local.bibliographicCitation.lastpage | 109 | |
local.identifier.doi | 10.1016/S0167-7152(00)00122-X | |
dc.date.updated | 2015-12-10T11:36:47Z | |
local.identifier.scopusID | 2-s2.0-0042867409 | |
Collections | ANU Research Publications |
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