Evaluating maximum likelihood estimation methods to determine the Hurst coefficient

C.m Kendziorski, J.b Bassingthwaighte and P.j Tonellato

Physica A: Statistical Mechanics and its Applications, 1999, vol. 273, issue 3, 439-451

Abstract: A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficient (H) is evaluated. The Hurst coefficient, with 0.5Keywords: Time series analysis; Autocorrelation function; Fractional ARIMA process; Fractional Gaussian noise; Hurst coefficient; Long memory (search for similar items in EconPapers)
Date: 1999
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:273:y:1999:i:3:p:439-451

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

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