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

Journal of Time Series Analysis

Volumn 26, Issue 2, 2005, Pages 211-249

  Stoev, Stilian ^a   Taqqu, Murad S ^a,b  

^a BOSTON UNIVERSITY   (United States)

^b Boston University   (United States)

Author keywords

Asymptotic normality; Fractional autoregressive integrated moving average; Fractional difference parameter estimators; Linear fractional stable motion; Long range dependence; Mallat's algorithm; Symmetric stable; Wavelets

Indexed keywords

EID: 14644415873     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2005.00399.x     Document Type: Article

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