Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: an empirical study

Agnieszka Jach, Piotr Kokoszka

Research output: Contribution to journal › Article › Scientific › peer-review

4 Citations (Scopus)

Original language	English
Peer-reviewed scientific journal	Methodology and Computing in Applied Probability
Volume	12
Pages (from-to)	177-197
ISSN	1387-5841
DOIs	https://doi.org/10.1007/s11009-008-9105-3
Publication status	Published - 2010
MoE publication type	A1 Journal article - refereed

Keywords

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title = "Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: an empirical study",

keywords = "112 Statistics and probability, 512 Business and Management",

author = "Agnieszka Jach and Piotr Kokoszka",

year = "2010",

doi = "10.1007/s11009-008-9105-3",

language = "English",

volume = "12",

pages = "177--197",

journal = "Methodology and Computing in Applied Probability",

issn = "1387-5841",

publisher = "Springer New York LLC",

}

TY - JOUR

T1 - Robust wavelet-domain estimation of the fractional difference parameter in heavy-tailed time series: an empirical study

AU - Jach, Agnieszka

AU - Kokoszka, Piotr

PY - 2010

Y1 - 2010

KW - 112 Statistics and probability

KW - 512 Business and Management

U2 - 10.1007/s11009-008-9105-3

DO - 10.1007/s11009-008-9105-3

M3 - Article

SN - 1387-5841

VL - 12

SP - 177

EP - 197

JO - Methodology and Computing in Applied Probability

JF - Methodology and Computing in Applied Probability

ER -