A MONTE-CARLO METHOD FOR ESTIMATING THE CORRELATION EXPONENT

Authors
MIKOSCH T WANG QA
Citation
T. Mikosch et Qa. Wang, A MONTE-CARLO METHOD FOR ESTIMATING THE CORRELATION EXPONENT, Journal of statistical physics, 78(3-4), 1995, pp. 799-813
Citations number
20
Categorie Soggetti
Mathematical Method, Physical Science","Physycs, Mathematical
Journal title
Journal of statistical physics → ACNP
ISSN journal
00224715
Volume
78
Issue
3-4
Year of publication
1995
Pages
799 - 813
Database
ISI
SICI code
0022-4715(1995)78:3-4<799:AMMFET>2.0.ZU;2-S
Abstract
We propose a Monte Carlo method for estimating the correlation exponen t of a stationary ergodic sequence. The estimator can be considered as a bootstrap version of the classical Hill estimator. A simulation stu dy shows that the method yields reasonable estimates.