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- W2023173796 abstract "Abstract Suppose our data { X n } come from the model X t =∑ j =0 ∞ c j Z t − j , where { Z n } are i.i.d. with a symmetric distribution function which lies in the domain of normal attraction of a stable law with index α ∈(1,2). Further we assume that c j = j d −1 L ( j ), where parameter d ∈(0,1−1/ α ) and L is a normalized slowly varying function. Then the above model exhibits two features: long-range dependence and infinite variance. In this paper we show that the semi-parametric estimator for the long-range dependence index d used by Robinson (Ann. Statist. 22 (1) (1994) 515–539) is still consistent for the above semi-parametric model." @default.
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- W2023173796 date "2001-01-01" @default.
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- W2023173796 title "Semi-parametric estimation of long-range dependence index in infinite variance time series" @default.
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- W2023173796 doi "https://doi.org/10.1016/s0167-7152(00)00122-x" @default.
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