Finite sample comparison of alternative estimators for fractional Gaussian noise

• 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
• Institution: Singapore Management University

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...