Theory and Modern Applications
Table 1 The means and standard deviations of the estimators with \(N=600\)
From: Maximum likelihood estimators of a long-memory process from discrete observations
| Â | H | a | b | c | H | a | b | c |
|---|---|---|---|---|---|---|---|---|
Theoretical value | 0.7600 | 1.0000 | −2.0000 | 2.0000 | 0.8600 | 4.0000 | 3.0000 | 4.0000 |
Empirical mean | 0.7497 | 1.1264 | −2.1076 | 2.1233 | 0.8701 | 3.9068 | 3.1098 | 3.9098 |
Standard deviation | 0.6573 | 0.6866 | 0.5298 | 0.5290 | 0.5508 | 0.6109 | 0.5604 | 0.6533 |