The Optimal Bandwidth Parameter Selection in GPH Estimation

Weijie Zhou, Huihui Tao, Feifei Wang, Weiqiang Pan and Xiangfeng Yang

Journal of Mathematics, 2021, vol. 2021, 1-11

Abstract: In this paper, the optimal bandwidth parameter is investigated in the GPH algorithm. Firstly, combining with the stylized facts of financial time series, we generate long memory sequences by using the ARFIMA (1, d, 1) process. Secondly, we use the Monte Carlo method to study the impact of the GPH algorithm on existence test, persistence or antipersistence judgment of long memory, and the estimation accuracy of the long memory parameter. The results show that the accuracy of above three factors in the long memory test reached a relatively high level within the bandwidth parameter interval of 0.5 

Date: 2021
References: Add references at CitEc
Citations:

Downloads: (external link)
http://downloads.hindawi.com/journals/jmath/2021/2876000.pdf (application/pdf)
http://downloads.hindawi.com/journals/jmath/2021/2876000.xml (application/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jjmath:2876000

DOI: 10.1155/2021/2876000

Access Statistics for this article

More articles in Journal of Mathematics from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().