Numerical Approximation of Some Infinite Gaussian Series and Integrals
The paper deals with numerical computation of the asymptotic variance of the so-called increment ratio (IR) statistic and its modifications. The IR statistic is useful for estimation and hypothesis testing on fractional parameter H ∈ (0, 1) of random process (time series), see Surgailis et al. [1],...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Vilnius University Press
2008-07-01
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| Series: | Nonlinear Analysis |
| Subjects: | |
| Online Access: | http://www.journals.vu.lt/nonlinear-analysis/article/view/14564 |