✦ LIBER ✦
Semi-parametric estimation of long-range dependence index in infinite variance time series
✍ Scribed by Liang Peng
- Publisher
- Elsevier Science
- Year
- 2001
- Tongue
- English
- Weight
- 95 KB
- Volume
- 51
- Category
- Article
- ISSN
- 0167-7152
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✦ Synopsis
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 slowly varying function. Then the above model exhibits two features: long-range dependence and inÿnite variance. In this paper we show that the semi-parametric estimator for the long-range dependence index d used by Robinson (Ann. Statist. 22 (1) (1994) 515 -539) is still consistent for the above semi-parametric model.