Note on convergence rates of semiparametric estimators of dependence index

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

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

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 process; semiparametric estimation; long-range dependence; stationary process; short-range dependence; autocovariance; long-memory time series; Hurst constant

Mathematics Subject Classification ID

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

62G05: Nonparametric estimation

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