An \(M\)-estimator for the long-memory parameter

DOI10.1016/j.jspi.2017.02.008zbMath1391.62173OpenAlexW2593813852MaRDI QIDQ2407067

Murad S. Taqqu, Valdério Anselmo Reisen, Céline Lévy-Leduc

Publication date: 28 September 2017

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

Full work available at URL: https://doi.org/10.1016/j.jspi.2017.02.008

zbMATH Keywords

outlierstime series\(M\)-estimationlong-memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

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