A Monte Carlo method for estimating the correlation exponent

DOI10.1007/BF02183688MaRDI QIDQ2499994zbMATH OpenOpenAlexFDO

Authors T. Mikosch, Qiang Wang

Publication date 23 August 2006

Published in Journal of Statistical Physics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02183688

zbMATH Keywords

bootstrapHill estimatorMonte Carlo methodcorrelation dimensionCorrelation exponent

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

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Cites work

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• Dimension estimates of earthquake epicentres and hypocentres
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• Laws of large numbers for sums of extreme values
• Measuring the strangeness of strange attractors
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• On tail index estimation using dependent data
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• Some results on the behavior and estimation of the fractal dimensions of distributions on attractors
• The Asymptotic Behavior of Hill’s Estimator

Cited in

(4)

• Computer-Assisted Verification Method for Invariant Densities and Rates of Decay of Correlations
• DYNAMICAL CORRELATIONS ON RECONSTRUCTED INVARIANT DENSITIES AND THEIR EFFECT ON CORRELATION DIMENSION ESTIMATION
• Chaos theory in geophysics: past, present and future
• Correlation length of time series in statistical simulations

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