Recent advances on the semi-parametric estimation of the long-range dependence coefficient

DOI10.1051/PROC:1998010MaRDI QIDQ4226115zbMATH OpenOpenAlexFDO

Authors Philippe Soulier, Jean-Marc Bardet, Eric Moulines

Publication date 27 January 1999

Published in ESAIM: Proceedings (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/proc:1998010

zbMATH Keywords

frequency domainHurst exponentlong-range dependencetime domain

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

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