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Estimating the Hurst parameter in fractional ARIMA(p,d,q) models via the quasi-likelihood method

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  • Biondini, Riccardo
  • Lin, Yan-Xia

Abstract

This paper is concerned with R/S analysis given a fractional ARIMA(p,d,q) model with finite variance where the aim is to estimate the intensity of long-range dependence of the particular series. This is done through what is commonly referred to as the Hurst parameter (denoted by H). H is a measure of self-similarity of a given time series. The goal of this paper is to examine the effectiveness of applying the method of asymptotic quasi-likelihood to R/S analysis instead of the conventional method of least squares.

Suggested Citation

  • Biondini, Riccardo & Lin, Yan-Xia, 1999. "Estimating the Hurst parameter in fractional ARIMA(p,d,q) models via the quasi-likelihood method," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 48(4), pages 407-416.
    • Handle: RePEc:eee:matcom:v:48:y:1999:i:4:p:407-416
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    References listed on IDEAS

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    1. Lo, Andrew W, 1991. "Long-Term Memory in Stock Market Prices," Econometrica, Econometric Society, vol. 59(5), pages 1279-1313, September.
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