A comparsion of estimators for \(1/f\) noise

DOI10.1016/S0167-2789(97)00188-7zbMath0983.37103MaRDI QIDQ1963779

Daniel T. Kaplan, Berndt Pilgram

Publication date: 8 February 2000

Published in: Physica D (Search for Journal in Brave)

zbMATH Keywords

noisetime-seriesMonte-Carlo approach

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

Related Items (13)

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Uses Software

• longmemo

Cites Work

• Unnamed Item
• Testing for nonlinearity in time series: the method of surrogate data
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Maximum likelihood estimation of the parameters of discrete fractionally differenced Gaussian noise process

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