Estimation of Hurst parameter and minimum variance spectrum

DOI10.11568/KJM.2018.26.2.155zbMATH Open1425.60033OpenAlexW2811219073MaRDI QIDQ5204427FDOQ5204427

Authors: J. M. Kim 

Publication date: 4 December 2019

Full work available at URL: http://kkms.org/index.php/kjm/article/download/559/400

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zbMATH Keywords

Hurst parameterself-similaritypower spectrum densityFARIMAmodified \(R/S\) statistic

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Self-similar stochastic processes (60G18)

Cites Work

• Title not available (Why is that?)
• Robustness of whittle-type estimators for time series with long-range dependence
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• Self-Similarity and Lamperti Transformation for Random Fields
• Large deviations and overflow probabilities for the general single-server queue, with applications
• A critical look at Lo's modified \(R/S\) statistic.
• Parameter estimation and spectrum of fractional ARIMA process

Cited In (3)

• Title not available (Why is that?)
• Parameter estimation and spectrum of fractional ARIMA process
• Estimation of the Hurst parameter in the simultaneous presence of jumps and noise

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