Evaluating Maximum Likelihood Estimation Methods to Determine the Hurst Coefficient

Authors

Christina Marie Kendziorski, Marquette University
J. B. Bassingthwaighte, University of Washington - Seattle Campus
Peter J. Tonellato, Marquette UniversityFollow

Document Type

Article

Language

eng

Publication Date

11-15-1999

Publisher

Elsevier

Source Publication

Physica A: Statistical Mechanics and its Applications

Source ISSN

0378-4371

Original Item ID

DOI: 10.1016/S0378-4371(99)00268-X

Abstract

A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficient (H) is evaluated. The Hurst coefficient, with 0.5<HS-MLE was developed to estimate H for fractionally differenced (fd) processes. However, in practice it is difficult to distinguish between fd processes and fractional Gaussian noise (fGn) processes. Thus, the method is evaluated for estimating H for both fd and fGn processes. S-MLE gave biased results of H for fGn processes of any length and for fd processes of lengths less than 2¹⁰. A modified method is proposed to correct for this bias. It gives reliable estimates of H for both fd and fGn processes of length greater than or equal to 2¹¹.

Comments

Accepted version. Physica A: Statistical Mechanics and its Applications, Vol. 273, No. 3-4 (November 15, 1999): 439-451. DOI. © 1999 Elsevier. Used with permission.

Recommended Citation

Kendziorski, Christina Marie; Bassingthwaighte, J. B.; and Tonellato, Peter J., "Evaluating Maximum Likelihood Estimation Methods to Determine the Hurst Coefficient" (1999). Mathematics, Statistics and Computer Science Faculty Research and Publications. 260.
https://epublications.marquette.edu/mscs_fac/260