Large sample behaviour of some well-known robust estimators under long-range dependence
نویسندگان
چکیده
منابع مشابه
Robustness of estimators of long-range dependence and self-similarity under non-Gaussianity.
Long-range dependence (LRD) and non-Gaussianity are ubiquitous in many natural systems such as ecosystems, biological systems and climate. However, it is not always appreciated that the two phenomena may occur together in natural systems and that self-similarity in a system can be a superposition of both phenomena. These features, which are common in complex systems, impact the attribution of t...
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We present the results of a simulation study into the properties of 12 different estimators of the Hurst parameter, H, or the fractional integration parameter, d, in long memory time series. We compare and contrast their performance on simulated Fractional Gaussian Noises and fractionally integrated series with lengths between 100 and 10,000 data points and H values between 0.55 and 0.90 or d v...
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Recent measurements of various types of network traac have shown evidence consistent with long-range dependence and self-similarity. However, an alternative explanation for these measurements is non-stationarity in the data. Standard estimators of LRD parameters such as the Hurst parameter H assume stationarity and are susceptible to bias when this assumption does not hold. Hence LRD may be ind...
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is published by Princeton University Press and copyrighted, © 2006, by Princeton University Press. All rights reserved. No part of this book may be reproduced in any form by any electronic or mechanical means (including photocopying, recording, or information storage and retrieval) without permission in writing from the publisher, except for reading and browsing via the World Wide Web. Users ar...
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We discuss the optimal design problem in regression models with long range dependence error structure. Asymptotic optimal designs are derived and it is demonstrated that these designs depend only indirectly on the correlation function. Several examples are investigated to illustrate the theory. Finally the optimal designs are compared with asymptotic optimal designs, which were derived by Bicke...
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ژورنال
عنوان ژورنال: Statistics
سال: 2011
ISSN: 0233-1888,1029-4910
DOI: 10.1080/02331888.2011.539442