On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise

DOI10.1080/00949655.2012.732076MaRDI QIDQ5219948zbMATH OpenOpenAlexFDO

Authors Wickes Robbertse, Fred Lombard

Publication date 9 March 2020

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949655.2012.732076

zbMATH Keywords

maximum likelihood estimationlong memoryfractional Gaussian noise

Mathematics Subject Classification ID

Point estimation (62F10) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22)

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Cites work

• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• Efficient parameter estimation for self-similar processes
• Estimating the Hurst effect and its application in monitoring clinical trials
• Fractional Brownian motion and clinical trials
• On fast generation of fractional Gaussian noise
• On the integral of the squared periodogram
• Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
• Testing for long-term memory in yen/dollar exchange rate

Cited in

(12)

• Penalised maximum likelihood estimation for fractional Gaussian processes
• Maximum-likelihood estimators and random walks in long memory models
• Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
• Estimation of long-memory time series models: a survey of different likelihood-based methods
• Maximum Likelihood Estimation of the Non-Parametric FRF for Pulse-Like Excitations
• A comparison of maximum likelihood and absolute moments for the estimation of Hurst exponents in a stationary framework
• One-step estimation for the fractional Gaussian noise at high-frequency
• ON PLUG-IN ESTIMATION OF LONG MEMORY MODELS
• Expansions for approximate maximum likelihood estimators of the fractional difference parameter
• On a class of M-estimators for Gaussian long-memory models
• Parameter identification for the discretely observed geometric fractional Brownian motion
• Finite sample properties of ml and reml estimators in time series regression models with long memory noise

Describes a project that uses

Uses Software

• longmemo

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