Evaluating maximum likelihood estimation methods to determine the Hurst coeficient. Physica A 1999 Nov 15;273(3-4):439-451
Date
11/15/1999Pubmed ID
22904595Pubmed Central ID
PMC3420828DOI
10.1016/S0378-4371(99)00268-XScopus ID
2-s2.0-0346966916 (requires institutional sign-in at Scopus site) 29 CitationsAbstract
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 between fd processes and fractional Gaussian noise (fGn) processes. Thus, the method is evaluated for estimating H for both fd and fGn processes. S-MLE gave biased results of H for fGn processes of any length and for fd processes of lengths less than 2(10). A modified method is proposed to correct for this bias. It gives reliable estimates of H for both fd and fGn processes of length greater than or equal to 2(11).