Semi-parametric estimation of long-range dependence index in infinite variance time series
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
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Statistics and Probability Letters
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2037-12-31
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