On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise
DOI10.1080/00949655.2012.732076zbMATH Open1453.62623OpenAlexW2002783463MaRDI QIDQ5219948FDOQ5219948
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
Recommendations
- ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
- Estimation Methods of the Long Memory Parameter: Monte Carlo Analysis and Application
- Estimation of long-memory time series models: a survey of different likelihood-based methods
- On a class of M-estimators for Gaussian long-memory models
- Maximum likelihood estimators of a long-memory process from discrete observations
Point estimation (62F10) Non-Markovian processes: estimation (62M09) Fractional processes, including fractional Brownian motion (60G22)
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Efficient parameter estimation for self-similar processes
- Fractional Brownian motion and clinical trials
- Estimating the Hurst effect and its application in monitoring clinical trials
- Self-similarity in high-speed packet traffic: analysis and modeling of Ethernet traffic measurements
- On the integral of the squared periodogram
- On fast generation of fractional Gaussian noise
- 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
Uses Software
This page was built for publication: On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5219948)
