Estimation of hurst parameter and minimum variance spectrum

DOI10.11568/kjm.2018.26.2.155zbMath1425.60033MaRDI QIDQ5204427

Joo-Mok Kim

Publication date: 4 December 2019

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

zbMATH Keywords

self-similarity; Hurst parameter; power spectrum density; FARIMA; modified \(R/S\) statistic

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G10: Stationary stochastic processes

60G18: Self-similar stochastic processes