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The asymptotic codifference and covariation of log-fractional stable noise
Levy, Joshua B.; Taqqu, Murad S. - In: Journal of econometrics 181 (2014) 1, pp. 34-43
Persistent link: https://www.econbiz.de/10010473427
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Estimators of long-memory : fourier versus wavelets
Fay͏̈, Gilles; Moulines, Eric; Roueff, François; … - In: Journal of econometrics 151 (2009) 2, pp. 159-177
Persistent link: https://www.econbiz.de/10003877962
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Asymptotic Self-Similarity and Wavelet Estimation for Long-Range Dependent Fractional Autoregressive Integrated Moving Average Time Series with Stable Innovations
Stoev, Stilian; Taqqu, Murad S. - 2005
Methods for parameter estimation in the presence of long-range dependence and heavy tails are scarce. Fractional autoregressive integrated moving average (FARIMA) time series for positive values of the fractional differencing exponent d can be used to model long-range dependence in the case of...
Persistent link: https://www.econbiz.de/10014066820