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Toeplitz matrices and estimation of time series with long-range dependence

Murad S. Taqqu

Abstract:

This paper reviews recent results by Fox and Taqqu (1986a,b), Dahlhaus (1986) and Avram (1986). Outlines of proofs are provided. The goal is to estimate parameters in Gaussian stationary time series whose spectrum diverges like a power function. Such time series are said to exhibit a long-range dependence.