Finite sample comparison of alternative estimators for fractional Gaussian noise

Finite sample comparison of alternative estimators for fractional Gaussian noise

The fractional Brownian motion (fBm) process is a continuous-time Gaussian process with its increment being the fractional Gaussian noise (fGn). It has enjoyed widespread empirical applications across many fields, from science to economics and finance. The dynamics of fBm and fGn are governed by a f...

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Bibliographic Details
Main Authors: SHI, Shuping, Jun YU, ZHANG, Chen
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2022
Subjects:
Fractional Brownian motion
Fractional Gaussian noise
Semiparametric method
Maximum likelihood
Whittle likelihood
Change-of-frequency
Realised volatility
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/2635
https://ink.library.smu.edu.sg/context/soe_research/article/3634/viewcontent/fGn_Estimation11.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2635
https://ink.library.smu.edu.sg/context/soe_research/article/3634/viewcontent/fGn_Estimation11.pdf

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