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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.