Semi-parametric estimation of long-range dependence index in infinite variance time series.

DOI10.1016/S0167-7152(00)00122-XzbMath1036.62088MaRDI QIDQ5933606

Liang Peng

Publication date: 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

long-range dependencesemi-parametric frequency domain estimationstable law

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Cites Work

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• Semiparametric analysis of long-memory time series
• Parameter estimation for infinite variance fractional ARIMA
• Note on convergence rates of semiparametric estimators of dependence index
• Heavy tail modeling and teletraffic data. (With discussions and rejoinder)
• The integrated periodogram for long-memory processes with finite or infinite variance
• Parameter estimation for ARMA models with infinite variance innovations
• Fractional ARIMA with stable innovations
• Long memory processes and fractional integration in econometrics

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