Semi-parametric estimation of the long-range dependence parameter : A survey
Bardet, Jean-Marc ; Philippe, Anne ; Oppenheim, Georges ; Taqqu, Murad, ; Stoev, Stilan ; Lang, Gabriel
HAL, hal-00127926 / Harvested from HAL
Text on HAL
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.
Publié le : 2003-07-05
Classification:  fractional Gaussian noise,  self-similarity,  time series,  FARIMA,  estimation,  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] 
@article{hal-00127926,
     author = {Bardet, Jean-Marc and Philippe, Anne and Oppenheim, Georges and Taqqu, Murad,  and Stoev, Stilan and Lang, Gabriel},
     title = {Semi-parametric estimation of the long-range dependence parameter : A survey},
     journal = {HAL},
     volume = {2003},
     number = {0},
     year = {2003},
     language = {en},
     url = {http://dml.mathdoc.fr/item/hal-00127926}
}

Bardet, Jean-Marc; Philippe, Anne; Oppenheim, Georges; Taqqu, Murad, ; Stoev, Stilan; Lang, Gabriel. Semi-parametric estimation of the long-range dependence parameter : A survey. HAL, Tome 2003 (2003) no. 0, . http://gdmltest.u-ga.fr/item/hal-00127926/