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Estimating long-range dependence in time series: An evaluation of estimators implemented in R

✍ Scribed by Esther Stroe-Kunold; Tetiana Stadnytska; Joachim Werner; Simone Braun

Book ID
111520872
Publisher
Psychonomic Society Publications
Year
2009
Tongue
English
Weight
298 KB
Volume
41
Category
Article
ISSN
1554-351X

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✍ Liang Peng πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 95 KB

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 ∈ (1; 2). Further we assume that cj = j d-1 L(j), where parameter d ∈ (0; 1 -1= ) and L is a normalized