ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY

DOI10.1142/S0218348X95000692zbMath0864.62061OpenAlexW2165773639WikidataQ64026022 ScholiaQ64026022MaRDI QIDQ3129975

Vadim Teverovsky, Murad S. Taqqu, Walter Willinger

Publication date: 26 June 1997

Published in: Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0218348x95000692

zbMATH Keywords

time serieslong-range dependenceperiodogramfractional Gaussian noiseintensitymodified periodogramself-similarity parameteraggregated variance methoddifferencing variancesfractional ARIMA \((0,d,0)\)residuals of regression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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