Estimation methods for the LRD parameter under a change in the mean

DOI10.1007/s00362-016-0839-7zbMath1411.62260OpenAlexW2543911473MaRDI QIDQ2633430

Roland Fried, Aeneas Rooch, Ieva Zelo

Publication date: 8 May 2019

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/35124

zbMATH Keywords

estimationlong memorylong-range dependencechange-point problemsHurst parameterjump

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05)

Related Items (4)

On robust estimation of negative binomial INARCH models ⋮ On variance estimation under shifts in the mean ⋮ Unit root testing with slowly varying trends ⋮ Robust scale estimation under shifts in the mean

Uses Software

• longmemo

Cites Work

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