A comparsion of estimators for \(1/f\) noise
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Publication:1963779
DOI10.1016/S0167-2789(97)00188-7zbMath0983.37103MaRDI QIDQ1963779
Daniel T. Kaplan, Berndt Pilgram
Publication date: 8 February 2000
Published in: Physica D (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)
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Uses Software
Cites Work
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- Testing for nonlinearity in time series: the method of surrogate data
- ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Maximum likelihood estimation of the parameters of discrete fractionally differenced Gaussian noise process
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