Simultaneous estimation of the parameters of the Hurst–Kolmogorov stochastic process

By Hristos Tyralis, Demetris Koutsoyiannis. 2011

86 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/6d1580ce5e5bcb98e582842e9cbfd01e64df13ed

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Luciano Zunino
2. Osvaldo Anibal Rosso
3. F. Serinaldi
4. Demetris Koutsoyiannis
5. Günter Blöschl
6. Simon Michael Papalexiou
7. Yannis Markonis
8. Theano Iliopoulou

In Finance

1. F. Serinaldi
2. Simon Michael Papalexiou
3. Osvaldo Anibal Rosso
4. Luciano Zunino
5. Günter Blöschl
6. Demetris Koutsoyiannis
7. Yannis Markonis
8. Theano Iliopoulou

In Management Science and Operations Research

1. F. Serinaldi
2. Luciano Zunino
3. Osvaldo Anibal Rosso
4. Georgia A. Papacharalampous
5. Demetris Koutsoyiannis
6. E. Szolgayová
7. Günter Blöschl
8. C. Bucher

Citations in the corpus

• Revisiting long-range dependence in annual precipitation (2018, methodology): “This shortcoming may be overcome by the use of the Least Squares Based on 155 Standard Deviation Method (LSSD) [Koutsoyiannis, 2003; Tyralis and Koutsoyiannis, 2011], 156 which performs a simultaneous estimation of the Hurst parameter H and the standard deviation σ 157 using an approximately…”
• Predictability of monthly temperature and precipitation using automatic time series forecasting methods (2018, methodology): “To estimate the parameters, we first decompose the time series using a classical additive model, as described in Hyndman and Athanasopoulos (2017, Chapter 6.3) and, subsequently, we use the maximum likelihood estimator presented in Tyralis and Koutsoyiannis (2011).”
• Factors influencing long range dependence in streamflow of European rivers (2014, methodology): “Based on the literature (Montanari et al., 1999b; Koutsoyiannis, 2003; Grau-Carles, 2005; Tyralis and Koutsoyiannis, 2011), five estimators were selected here: • Rescaled range (R/S), • Regression on periodogram, • Whittle estimator, • Aggregated variances, and • LSV.”
• The importance of prewhitening in change point analysis under persistence (2016, unknown): “The maximum likelihood estimator of H has the advantage to be very accurate (Tyralis and Koutsoyiannis 2011) and not to rely on graphical diagnostic plots unlike other estimators (see e.”
• Complexity–entropy analysis of daily stream flow time series in the continental United States (2014, methodology): “…AR synthetic series were simulated using two types of innovation values: the resampled residuals obtained during the model calibration, and innovations drawn from a fractional Gaussian noise (fGn, also known as Hurst–Kolmogorov process (e.g., Koutsoyiannis 2011a; Tyralis and Koutsoyiannis 2011)).”