Document Type

Article

Language

eng

Format of Original

13 p.

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; PubMed Central: PMCID 3420828

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. © Elsevier 1999. Used with permission.

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