In this paper we discuss the properties of most important estimators of long-range dependence parameters. We compare the properties of these estimators via Monte Carlo experiments. We give an empirical approach for confidence intervals for the different parameter estimates. We then apply these procedures to a real time series to investigate its long-memory properties. © 1998 Elsevier Science B.V. All rights reserved.
A comparison of techniques of estimation in long-memory processes
BISAGLIA, LUISA;
1998
Abstract
In this paper we discuss the properties of most important estimators of long-range dependence parameters. We compare the properties of these estimators via Monte Carlo experiments. We give an empirical approach for confidence intervals for the different parameter estimates. We then apply these procedures to a real time series to investigate its long-memory properties. © 1998 Elsevier Science B.V. All rights reserved.
File in questo prodotto:
Non ci sono file associati a questo prodotto.
Pubblicazioni consigliate
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
