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The Optimal Bandwidth Parameter Selection in GPH Estimation

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  • Weijie Zhou
  • Huihui Tao
  • Feifei Wang
  • Weiqiang Pan
  • Xiangfeng Yang

Abstract

In this paper, the optimal bandwidth parameter is investigated in the GPH algorithm. Firstly, combining with the stylized facts of financial time series, we generate long memory sequences by using the ARFIMA (1, d, 1) process. Secondly, we use the Monte Carlo method to study the impact of the GPH algorithm on existence test, persistence or antipersistence judgment of long memory, and the estimation accuracy of the long memory parameter. The results show that the accuracy of above three factors in the long memory test reached a relatively high level within the bandwidth parameter interval of 0.5 

Suggested Citation

  • Weijie Zhou & Huihui Tao & Feifei Wang & Weiqiang Pan & Xiangfeng Yang, 2021. "The Optimal Bandwidth Parameter Selection in GPH Estimation," Journal of Mathematics, Hindawi, vol. 2021, pages 1-11, December.
    • Handle: RePEc:hin:jjmath:2876000
    DOI: 10.1155/2021/2876000
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