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Semi-parametric estimation of the long-range dependence parameter : A survey

Abstract : In semi-parametric models, the long-range dependence parameter is estimated without assuming that the short-range dependence structure of the covariance function is known. We review some of the estimation methods and present new ones which have not been tested before on simulated data.
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https://hal.archives-ouvertes.fr/hal-00127926
Contributor : Jean-Marc Bardet Connect in order to contact the contributor
Submitted on : Tuesday, January 30, 2007 - 10:58:03 AM
Last modification on : Tuesday, July 6, 2021 - 3:39:37 AM

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  • HAL Id : hal-00127926, version 1

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Jean-Marc Bardet, Anne Philippe, Georges Oppenheim, Murad Taqqu, Stilan Stoev, et al.. Semi-parametric estimation of the long-range dependence parameter : A survey. Theory and applications of long-range dependence., Birkhäuser, pp.557-577, 2003. ⟨hal-00127926⟩

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