Estimation of Hurst parameter and minimum variance spectrum
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Cites work
- A critical look at Lo's modified \(R/S\) statistic.
- scientific article; zbMATH DE number 5363773 (Why is no real title available?)
- scientific article; zbMATH DE number 614990 (Why is no real title available?)
- Large deviations and overflow probabilities for the general single-server queue, with applications
- Parameter estimation and spectrum of fractional ARIMA process
- Robustness of whittle-type estimators for time series with long-range dependence
- Self-Similarity and Lamperti Transformation for Random Fields
Cited in
(4)- Estimating the Hurst parameter in fractional \(\text{ARIMA} (p,d,q)\) models via the quasi-likelihood method
- scientific article; zbMATH DE number 5629272 (Why is no real title available?)
- Estimation of the Hurst parameter in the simultaneous presence of jumps and noise
- Parameter estimation and spectrum of fractional ARIMA process
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