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A Comparison of Hurst Exponent Estimators in Long-range Dependent Curve Time Series

Shang, Han Lin


The Hurst exponent is the simplest numerical summary of self-similar long-range dependent stochastic processes. We consider the estimation of Hurst exponent in long-range dependent curve time series. Our estimation method begins by constructing an estimate of the long-run covariance function, which we use, via dynamic functional principal component analysis, in estimating the orthonormal functions spanning the dominant sub-space of functional time series. Within the context of functional...[Show more]

CollectionsANU Research Publications
Date published: 2020-05-26
Type: Journal article
Source: Journal of Time Series Econometrics
DOI: 10.1515/jtse-2019-0009
Access Rights: Open Access


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