Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Rooch, Aeneas | - |
dc.contributor.author | Zelo, Ieva | - |
dc.contributor.author | Fried, Roland | - |
dc.date.accessioned | 2016-06-28T14:50:45Z | - |
dc.date.available | 2016-06-28T14:50:45Z | - |
dc.date.issued | 2016 | - |
dc.identifier.uri | http://hdl.handle.net/2003/35124 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-17171 | - |
dc.description.abstract | When analyzing time series which are supposed to exhibit long-range dependence (LRD), a basic issue is the estimation of the LRD parameter, for example the Hurst parameter H 2 (1=2; 1). Conventional estimators of H easily lead to spurious detection of long memory if the time series includes a shift in the mean. This defect has fatal consequences in change-point problems: Tests for a level shift rely on H, which needs to be estimated before, but this estimation is distorted by the level shift. We investigate two blocks approaches to adapt estimators of H to the case that the time series includes a jump and compare them with other natural techniques as well as with estimators based on the trimming idea via simulations. These techniques improve the estimation of H if there is indeed a change in the mean. In the absence of such a change, the methods little affect the usual estimation. As adaption, we recommend an overlapping blocks approach: If one uses a consistent estimator, the adaption will preserve this property and it performs well in simulations. | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB823;32, 2016 | en |
dc.subject | Hurst parameter | en |
dc.subject | change-point problems | en |
dc.subject | long memory | en |
dc.subject | long-range dependence | en |
dc.subject | jump | en |
dc.subject | estimation | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Estimation methods for the LRD parameter under a change in the mean | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
Appears in Collections: | Sonderforschungsbereich (SFB) 823 |
Files in This Item:
File | Description | Size | Format | |
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DP_3216_SFB823_Rooch_Zelo_Fried.pdf | DNB | 455.32 kB | Adobe PDF | View/Open |
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