Semi-parametric estimation of long-range
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Liang Peng
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Article
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2001
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Elsevier Science
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English
โ 95 KB
Suppose our data {Xn} come from the model Xt = โ 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 โ (1; 2). Further we assume that cj = j d-1 L(j), where parameter d โ (0; 1 -1= ) and L is a normalized