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Semiparametric Estimation in Time-Series Regression with Long-Range Dependence

✍ Scribed by Morten Ørregaard Nielsen

Book ID: 111039913
Publisher: John Wiley and Sons
Year: 2005
Tongue: English
Weight: 216 KB
Volume: 26
Category: Article
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.2005.00401.x

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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