ESTIMATORS FOR LONG-RANGE DEPENDENCE - AN EMPIRICAL-STUDY

Authors
TAQQU MS TEVEROVSKY V WILLINGER W
Citation
Ms. Taqqu et al., ESTIMATORS FOR LONG-RANGE DEPENDENCE - AN EMPIRICAL-STUDY, Fractals, 3(4), 1995, pp. 785-798
Citations number
14
Categorie Soggetti
Multidisciplinary Sciences
Journal title
Fractals → ACNP
ISSN journal
0218348X
Volume
3
Issue
4
Year of publication
1995
Pages
785 - 798
Database
ISI
SICI code
0218-348X(1995)3:4<785:EFLD-A>2.0.ZU;2-U
Abstract
Various methods for estimating the self-similarity parameter and/or th e intensity of long-range dependence in a time series are available. S ome are more reliable than others. To discover the ones that work best , we apply the different methods to simulated sequences of fractional Gaussian noise and fractional ARIMA (0, d, 0). We also provide here a theoretical justification for the method of residuals of regression.