Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations

DOI10.1111/j.1467-9892.2005.00399.xzbMath1091.62087OpenAlexW2163196507MaRDI QIDQ5467602

Murad S. Taqqu, Stilian A. Stoev

Publication date: 24 May 2006

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00399.x

zbMATH Keywords

asymptotic normalitystable distributionFARIMAself-similarity parameter

Mathematics Subject Classification ID

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

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