Note on convergence rates of semiparametric estimators of dependence index

DOI10.1214/aos/1031594739zbMath0890.62068OpenAlexW1971009954MaRDI QIDQ1372856

Hira L. Koul, Turlach, Berwin A., Hall, Peter

Publication date: 4 November 1997

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1031594739

zbMATH Keywords

Gaussian processsemiparametric estimationlong-range dependencestationary processshort-range dependenceautocovariancelong-memory time seriesHurst constant

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items

Asymptotic properties of LSE of regression coefficients on singular random fields observed on a sphere, Semiparametric analysis of long-range dependence in nonlinear regression, Semi-parametric estimation of long-range dependence index in infinite variance time series., Self-similarity index estimation via wavelets for locally self-similar processes, Wilcoxon-Signed Rank Test for Long Memory Sequences, On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields, Variance-type estimation of long memory, Semi-parametric smoothing estimators for long-memory processes with added noise

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