Azaïs, Jean-Marc; Lang, Gabriel Nonparametric estimation of the long range dependence exponent. (Estimation de l’exposant de longue dépendance dans un cadre semi- paramétrique.) (French) Zbl 0773.62027 C. R. Acad. Sci., Paris, Sér. I 316, No. 6, 611-614 (1993). 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. Cited in 1 Document MSC: 62G05 Nonparametric estimation 62G20 Asymptotic properties of nonparametric inference Keywords:asymptotic normality; new estimator of the long range dependence; rate of convergence PDFBibTeX XMLCite \textit{J.-M. Azaïs} and \textit{G. Lang}, C. R. Acad. Sci., Paris, Sér. I 316, No. 6, 611--614 (1993; Zbl 0773.62027)