Estimating the Hurst parameter in fractional ARIMA(p,d,q) models via the quasi-likelihood method

Riccardo Biondini and Yan-Xia Lin

Mathematics and Computers in Simulation (MATCOM), 1999, vol. 48, issue 4, 407-416

Abstract: This paper is concerned with R/S analysis given a fractional ARIMA(p,d,q) model with finite variance where the aim is to estimate the intensity of long-range dependence of the particular series. This is done through what is commonly referred to as the Hurst parameter (denoted by H). H is a measure of self-similarity of a given time series. The goal of this paper is to examine the effectiveness of applying the method of asymptotic quasi-likelihood to R/S analysis instead of the conventional method of least squares.

Keywords: Hurst parameter; Fractional ARIMA(p,d,q) models; Quasi-likelihood method (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:48:y:1999:i:4:p:407-416

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