Conference Agenda
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Discrete time series Location: 0.002 Session Chair: Christian H. Weiß | |
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Estimating parameters for long-range dependence via ordinal patterns 1: Siegen University, Germany; 2: University Twente, The Netherlands; 3: Ruhr University Bochum, Germany The ordinal structure of long-range dependent time series is analyzed. To this end, so-called ordinal patterns are used, which describe the relative position of consecutive data points. Two estimators are provided for the probabilities of ordinal patterns and we prove limit theorems in different settings, namely for funtions of Hermite Rank 1 and 2. In the second setting, a Rosenblatt distribution in the limit is encountered. In the context of fractional Gaussian noise, the limit distribution is derived for an estimation of the Hurst parameter H if it is higher than 3/4. Thus, the theorems complement results for lower values of H, which can be found in the literature. | |
