Asymptotic self‐similarity and wavelet estimation for long‐range dependent fractional autoregressive integrated moving average time series with stable innovations

Stilian Stoev and Murad S. Taqqu

Journal of Time Series Analysis, 2005, vol. 26, issue 2, 211-249

Abstract: Abstract. 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 heavy‐tailed distributions. In this paper, we focus on the estimation of the Hurst parameter H = d + 1/α for long‐range dependent FARIMA time series with symmetric α‐stable (1

Date: 2005
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https://doi.org/10.1111/j.1467-9892.2005.00399.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:26:y:2005:i:2:p:211-249

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