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

Peng, L

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

Date

2001

Authors

Peng, L

Publisher

Elsevier

Abstract

Suppose our data {Xn} come from the model Xt=∑j=0∞cjZt-j, where {Zn} are i.i.d. with a symmetric distribution function which lies in the domain of normal attraction of a stable law with index α∈(1,2). Further we assume that cj=jd-1L(j), where param