Physical Sciences and Mathematics Commons^™

Evaluating Maximum Likelihood Estimation Methods To Determine The Hurst Coefficient, Christina Marie Kendziorski, J. B. Bassingthwaighte, Peter J. Tonellato

Mathematics, Statistics and Computer Science Faculty Research and Publications

A maximum likelihood estimation method implemented in S-PLUS (S-MLE) to estimate the Hurst coefficient (H) is evaluated. The Hurst coefficient, with 0.5<HS-MLE was developed to estimate H for fractionally differenced (fd) processes. However, in practice it is difficult to distinguish between fd processes and fractional Gaussian noise (fGn) processes. Thus, the method is evaluated for estimating H for both fd and fGn processes. S-MLE gave biased results of H for fGn processes of any length and for fd processes of lengths less than 2¹⁰. A modified method is proposed to correct for …