Browsing Research Output by Subject "Fractional Gaussian noise"
Now showing items 1-2 of 2
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On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise
(Taylor & Francis, 2014)Approximate normality and unbiasedness of the maximum likelihood estimate (MLE) of the long-memory parameter H of a fractional Brownian motion hold reasonably well for sample sizes as small as 20 if the mean and scale ... -
Testing constancy of the Hurst exponent of some long memory stationary Gaussian time series
(SASA, 2012)Long-range dependence is often observed in stationary time series. The Hurst exponent then characterizes the long term features of the data, which implies that changes in its value could have implications for the long ...