Add to ORKGThe empirical properties of 12 different estimators of the Hurst parameter, H, or fractional integration parameter, d, derived via simulation, are presented. For time series with fewer than 4,000 observations only the Whittle and Haslett-Raftery estimators produce acceptable statistical properties
Tyt. z nagłówka.Bibliogr. s. 33-[37].The main goal of this paper is to examine the effects of select...
This paper provides a survey and review of the major econometric work on long memory processes, frac...
D.Phil. (Mathematical Statistics)Fractional Brownian motion and its increment process, fractional Ga...
RePEc Working Paper Series No. 13/2008We present the results of a simulation study into the properti...
We present the results of a simulation study into the properties of 12 different estimators of the H...
We present the results of a simulation study into the properties of 11 dierent estimators of the Hur...
International audienceIn this paper we discuss the properties of most important estimators of long-r...
In this work we perform a Monte Carlo experiment to show and compare the performance of a variety of...
Abstract. In this paper we investigate the properties of the estimator of degree of differencing the...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
In this paper we perform a Monte Carlo study based on three well-known semiparametric estimates for ...
This article revises semiparametric methods of inference on different aspects of long mem-ory time s...
This chapter reviews semiparametric methods of inference on different aspects of long memory time se...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
Long-range dependence (LRD) is discovered in time series arising from different fields, especially i...
Tyt. z nagłówka.Bibliogr. s. 33-[37].The main goal of this paper is to examine the effects of select...
This paper provides a survey and review of the major econometric work on long memory processes, frac...
D.Phil. (Mathematical Statistics)Fractional Brownian motion and its increment process, fractional Ga...
RePEc Working Paper Series No. 13/2008We present the results of a simulation study into the properti...
We present the results of a simulation study into the properties of 12 different estimators of the H...
We present the results of a simulation study into the properties of 11 dierent estimators of the Hur...
International audienceIn this paper we discuss the properties of most important estimators of long-r...
In this work we perform a Monte Carlo experiment to show and compare the performance of a variety of...
Abstract. In this paper we investigate the properties of the estimator of degree of differencing the...
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficie...
In this paper we perform a Monte Carlo study based on three well-known semiparametric estimates for ...
This article revises semiparametric methods of inference on different aspects of long mem-ory time s...
This chapter reviews semiparametric methods of inference on different aspects of long memory time se...
This chapter reviews semiparametric methods of inference on different aspects of long memory time s...
Long-range dependence (LRD) is discovered in time series arising from different fields, especially i...
Tyt. z nagłówka.Bibliogr. s. 33-[37].The main goal of this paper is to examine the effects of select...
This paper provides a survey and review of the major econometric work on long memory processes, frac...
D.Phil. (Mathematical Statistics)Fractional Brownian motion and its increment process, fractional Ga...