Evaluating maximum likelihood estimation methods to determine the Hurst coefficient
نویسندگان
چکیده
منابع مشابه
Evaluating maximum likelihood estimation methods to determine the Hurst coeficient.
A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficient (H) is evaluated. The Hurst coefficient, with 0.5 < H <1, characterizes long memory time series by quantifying the rate of decay of the autocorrelation function. S-MLE was developed to estimate H for fractionally differenced (fd) processes. However, in practice it is difficult to distinguish b...
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This module introduces the maximum likelihood estimator. We show how the MLE implements the likelihood principle. Methods for computing th MLE are covered. Properties of the MLE are discussed including asymptotic e ciency and invariance under reparameterization. The maximum likelihood estimator (MLE) is an alternative to the minimum variance unbiased estimator (MVUE). For many estimation proble...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 1999
ISSN: 0378-4371
DOI: 10.1016/s0378-4371(99)00268-x