Gaussian Semiparametric Estimation of Long Range Dependence
Work
Year: 1995
Type: article
Abstract: Assuming the model $f(\lambda) \sim G\lambda^{1-2H}$, as $\lambda \rightarrow 0 +$, for the spectral density of a covariance stationary process, we consider an estimate of $H \in (0, 1)$ which maximiz... more
Source: The Annals of Statistics
Author Peter M. Robinson
Cites: 11
Cited by: 1,482
Related to: 10
FWCI: 15.97
Citation percentile (by year/subfield): 99.96
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze