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Nonparametric estimation of the long range dependence exponent. (Estimation de l’exposant de longue dépendance dans un cadre semi- paramétrique.) (French) Zbl 0773.62027

Summary: A new estimator of the long range dependence is proposed. It is shown to be asymptotically normal and the rate of convergence is calculated.

MSC:

62G05 Nonparametric estimation
62G20 Asymptotic properties of nonparametric inference
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