M.S.Taqqu, " A bibliographical guide to self-similar process and long-range dependence. In E. Eberlin and M.S. taqqu, eds., Dependence in Probability and Statistics, Birkhauser, (1986), pp.137162.  Home/Search   Document Not in Database   Summary   Related Articles

....of the long range dependent spectrum, thus ensuring the convergence of (2.6) When this inequality is satisfied, we have shown that the log log regression based H estimator is asymptotically unbiased, and in practice has very low bias even for short data sets [3] Efficiency of H. It is known [10, 34] that in the presence of LRD the standard sample estimator (1=n P k x 2 k ) for second order statistics such as the variance of the process x has very poor statistical properties, because a time average is performed over strongly correlated data. In the wavelet coefficient representation ....

M.S.Taqqu, " A bibliographical guide to self-similar process and long-range dependence. In E. Eberlin and M.S. taqqu, eds., Dependence in Probability and Statistics, Birkhauser, (1986), pp.137162.

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