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Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context

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Academic year: 2021

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Table 1. Asymptotic relative efficiency of d b n,CR and d b n,MAD with respect to d b n,CL .
Figure 1. Confidence intervals of the estimates d b n,CL , d b n,CR and d b n,MAD of an ARFIMA(0, d, 0) process with d = 0.2 (left) and d = 1.2 (right) for J 0 = 1,
Figure 2. Empirical densities of the quantities √
Figure 4 (left) displays a packet count time series measured at the link of UNC on April 13, Saturday, from 7:30 p.m
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