Non-parametric estimation of the long-range dependence exponent for Gaussian processes

DOI10.1016/S0378-3758(98)00242-0zbMath0929.62090OpenAlexW1996833877WikidataQ127807721 ScholiaQ127807721MaRDI QIDQ1304374

Jean-Marc Azaïs, Gabriel Lang

Publication date: 23 November 1999

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0378-3758(98)00242-0

zbMATH Keywords

stationary Gaussian processlong-range dependenceperiodogramMonte-Carlo studyrescaled rangeminimum mean-square-error

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

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