2002 | OriginalPaper | Buchkapitel
Evaluating the GPH Estimator via Bootstrap Technique
verfasst von : Silvia Golia
Erschienen in: Compstat
Verlag: Physica-Verlag HD
Enthalten in: Professional Book Archive
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In this work a bootstrap method for long-memory processes is presented. The method is based on a combination of the discrete wavelet transform and the stationary bootstrap and is a development of the one presented by Percival et al. (2001). This bootstrap scheme is empirically tested calculating the GPH estimator for fractional gaussian noise time series. The set of bootstrap estimations is compared with the set of estimations obtained via MonteCarlo simulation procedure.