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Estimation of hurst parameter and minimum variance spectrum
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초록
Consider FARIMA time series with innovations that have infinite variances. We are interested in the estimation of self-similarities $H_n$ of FARIMA$(0, d, 0)$ by using modified $R/S$ statistic. We can confirm that the $H_n$ converges to Hurst parameter $H=d+\frac12$. Finally, we figure out ARMA and minimum variance power spectrum density of FARIMA processes.
Abstract
Consider FARIMA time series with innovations that have infinite variances. We are interested in the estimation of self-similarities $H_n$ of FARIMA$(0, d, 0)$ by using modified $R/S$ statistic. We can confirm that the $H_n$ converges to Hurst parameter $H=d+\frac12$. Finally, we figure out ARMA and minimum variance power spectrum density of FARIMA processes.
참고문헌 (13)
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