Note on convergence rates of semiparametric estimators of dependence index

Peter Hall, Hira L. Koul, Berwin A. Turlach

Research output: Contribution to journalArticlepeer-review

17 Citations (Scopus)

Abstract

Considerable recent attention has been devoted to semiparametric estimation of the dependence index, or the Hurst constant, using methods based on information in either frequency or time domains. Convergence rates of estimators in the frequency domain have been derived, and in the present paper we obtain them for estimators in the time domain. It is shown that the latter can have superior performance for moderate-range time series, but are inferior in the context of long-range dependence.

Original languageEnglish
Pages (from-to)1725-1739
Number of pages15
JournalAnnals of Statistics
Volume25
Issue number4
DOIs
Publication statusPublished - Aug 1997
Externally publishedYes

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