A Monte Carlo method for estimating the correlation exponent

DOI10.1007/BF02183688zbMath1102.82319OpenAlexW2022482625MaRDI QIDQ2499994

Qiang Wang, Thomas Mikosch

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

bootstrapMonte Carlo methodcorrelation dimensionHill estimatorCorrelation exponent

Mathematics Subject Classification ID

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

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