Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data
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Publication:5861006
DOI10.1080/07474938.2020.1721832zbMATH Open1490.62229arXiv1608.01895OpenAlexW3102401040MaRDI QIDQ5861006FDOQ5861006
Authors: Mikkel Bennedsen 
Publication date: 4 March 2022
Published in: Econometric Reviews (Search for Journal in Brave)
Abstract: We study a well-known estimator of the fractal index of a stochastic process. Our framework is very general and encompasses many models of interest; we show how to extend the theory of the estimator to a large class of non-Gaussian processes. Particular focus is on clarity and ease of implementation of the estimator and the associated asymptotic results, making it easy for practitioners to apply the methods. We additionally show how measurement noise in the observations will bias the estimator, potentially resulting in the practitioner erroneously finding evidence of fractal characteristics in a time series. We propose a new estimator which is robust to such noise and construct a formal hypothesis test for the presence of noise in the observations. Finally, the methods are illustrated on two empirical data sets; one of turbulent velocity flows and one of financial prices.
Full work available at URL: https://arxiv.org/abs/1608.01895
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Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Fractional processes, including fractional Brownian motion (60G22)
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