The Optimal Bandwidth Parameter Selection in GPH Estimation

The Optimal Bandwidth Parameter Selection in GPH Estimation

In this paper, the optimal bandwidth parameter is investigated in the GPH algorithm. Firstly, combining with the stylized facts of financial time series, we generate long memory sequences by using the ARFIMA (1, d, 1) process. Secondly, we use the Monte Carlo method to study the impact of the GPH al...

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Veröffentlicht in:Journal of mathematics (Hidawi) 2021, Vol.2021, p.1-11
Hauptverfasser: Zhou, Weijie, Tao, Huihui, Wang, Feifei, Pan, Weiqiang
Format: Artikel
Sprache:eng
Schlagworte:
Accuracy
Algorithms
Bandwidths
Mathematical analysis
Mathematics
Mean square errors
Methods
Monte Carlo simulation
Parameter estimation
Parameters
Securities markets
Sequences
Software
Stock exchanges
Time series
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Zusammenfassung:In this paper, the optimal bandwidth parameter is investigated in the GPH algorithm. Firstly, combining with the stylized facts of financial time series, we generate long memory sequences by using the ARFIMA (1, d, 1) process. Secondly, we use the Monte Carlo method to study the impact of the GPH algorithm on existence test, persistence or antipersistence judgment of long memory, and the estimation accuracy of the long memory parameter. The results show that the accuracy of above three factors in the long memory test reached a relatively high level within the bandwidth parameter interval of 0.5 
ISSN:2314-4629
2314-4785
DOI:10.1155/2021/2876000