Korean Journal of Mathematics

  • 제26권2호
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  • Pages.155-166
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  • 2018
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  • 1976-8605(pISSN)
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  • 2288-1433(eISSN)
강원경기수학회 (The Kangwon-Kyungki Mathematical Society)
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ESTIMATION OF HURST PARAMETER AND MINIMUM VARIANCE SPECTRUM

  • Kim, Joo-Mok (School of General Education Semyung University)
  • 투고 : 2017.09.22
  • 심사 : 2018.03.29
  • 발행 : 2018.06.30
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초록

Consider FARIMA time series with innovations that have infinite variances. We are interested in the estimation of self-similarities $H_n$ of FARIMA(0, d, 0) by using modified R/S statistic. We can confirm that the $H_n$ converges to Hurst parameter $H=d+\frac{1}{2}$. Finally, we figure out ARMA and minimum variance power spectrum density of FARIMA processes.

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참고문헌

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