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Article dans une revue Computational Statistics and Data Analysis Année : 1998

A comparison of techniques of estimation in long-memory processes

Résumé

In this paper we discuss the properties of most important estimators of long-range dependence parameters. We compare the properties of these estimators via Monte Carlo experiments. We give an empirical approach for confidence intervals for the different parameter estimates. We then apply these procedures to a real time series to investigate its long-memory properties.
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Dates et versions

halshs-00194462, version 1 (06-12-2007)

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Luisa Bisaglia, Dominique Guegan. A comparison of techniques of estimation in long-memory processes. Computational Statistics and Data Analysis, 1998, 27 (1), pp.61-81. ⟨10.1016/S0167-9473(97)00045-5⟩. ⟨halshs-00194462⟩
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