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Evaluating maximum likelihood estimation methods to determine the Hurst coeficient
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 < H <1, characterizes long memory time series by quantifying the rate of decay of the autocorrelation function. S-MLE was developed to estima...
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| Hoofdauteurs: | , , |
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| Formaat: | Artigo |
| Taal: | Inglês |
| Gepubliceerd in: |
1999
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| Onderwerpen: | |
| Online toegang: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3420828/ https://ncbi.nlm.nih.gov/pubmed/22904595 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1016/S0378-4371(99)00268-X |
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