A comparison of techniques of estimation in long-memory processes
Bisaglia, Luisa ; Guegan, Dominique
HAL, halshs-00194462 / Harvested from HAL
Text on HAL
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.
Publié le : 1998-03-05
Classification:  Fractional Gaussian noise,  Fractional ARIMA (p,  q) processes,  Estimation,  Long-range dependence,  [SHS.ECO]Humanities and Social Sciences/Economies and finances,  [MATH.MATH-PR]Mathematics [math]/Probability [math.PR],  [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] 
@article{halshs-00194462,
     author = {Bisaglia, Luisa and Guegan, Dominique},
     title = {A comparison of techniques of estimation in long-memory processes},
     journal = {HAL},
     volume = {1998},
     number = {0},
     year = {1998},
     language = {en},
     url = {http://dml.mathdoc.fr/item/halshs-00194462}
}

Bisaglia, Luisa; Guegan, Dominique. A comparison of techniques of estimation in long-memory processes. HAL, Tome 1998 (1998) no. 0, . http://gdmltest.u-ga.fr/item/halshs-00194462/