Spectrum-based estimators of the bivariate Hurst exponent

0436818 - ÚTIA 2015 RIV US eng J - Journal Article
Krištoufek, Ladislav
Spectrum-based estimators of the bivariate Hurst exponent.
Physical Review E. Roč. 90, č. 6 (2014), art. 062802. ISSN 1539-3755
R&D Projects: GA ČR(CZ) GP14-11402P
Institutional support: RVO:67985556
Keywords : bivariate Hurst exponent * power-law cross-correlations * estimation
Subject RIV: AH - Economics
Impact factor: 2.288, year: 2014
http://library.utia.cas.cz/separaty/2014/E/kristoufek-0436818.pdf

We discuss two alternate spectrum-based estimators of the bivariate Hurst exponent in the power-law cross- correlations setting, the cross-periodogram and local X-Whittle estimators, as generalizations of their univariate counterparts. As the spectrum-based estimators are dependent on a part of the spectrum taken into consideration during estimation, a simulation study showing performance of the estimators under varying bandwidth parameter as well as correlation between processes and their specification is provided as well. These estimators are less biased than the already existent averaged periodogram estimator, which, however, has slightly lower variance. The spectrum-based estimators can serve as a good complement to the popular time domain estimators.
Permanent Link: http://hdl.handle.net/11104/0241889