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

Jean‐Marc Bardet · Anne Philippe · Georges Oppenheim · Murad S. Taqqu · Stilan Stoev

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Complex Systems and Time Series Analysis Financial Risk and Volatility Modeling Spatial and Panel Data Analysis

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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