On maximum likelihood estimation of the long-memory parameter in fractional Gaussian noise

2012 ◽  
Vol 84 (4) ◽  
pp. 902-915
Author(s):  
Wickes Robbertse ◽  
Fred Lombard
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Gaussian Noise ◽  
Long Memory ◽  
Likelihood Estimation ◽  
Fractional Gaussian Noise ◽  
Memory Parameter

scholarly journals Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data—Under Conditional Heteroskedasticity Framework

2019 ◽  
Vol 12 (2) ◽  
pp. 74
Author(s):  
A. M. M. Shahiduzzaman Quoreshi ◽  
Reaz Uddin ◽  
Naushad Mamode Khan
Keyword(s):  
Maximum Likelihood ◽  
Maximum Likelihood Estimation ◽  
Long Memory ◽  
Likelihood Estimation ◽  
Monte Carlo Experiment ◽  
Empirical Estimation ◽  
Transaction Data ◽  
Quasi Maximum Likelihood ◽  
Stock Transaction ◽  
The Impact

This paper introduces Quasi-Maximum Likelihood Estimation for Long Memory Stock Transaction Data of unknown underlying distribution. The moments with conditional heteroscedasticity have been discussed. In a Monte Carlo experiment, it was found that the QML estimator performs as well as CLS and FGLS in terms of eliminating serial correlations, but the estimator can be sensitive to start value. Hence, two-stage QML has been suggested. In empirical estimation on two stock transaction data for Ericsson and AstraZeneca, the 2SQML turns out relatively more efficient than CLS and FGLS. The empirical results suggest that both of the series have long memory properties that imply that the impact of macroeconomic news or rumors in one point of time has a persistence impact on future transactions.

scholarly journals Maximum Likelihood Estimation of Clock Skew in IEEE 1588 with Fractional Gaussian Noise

2015 ◽  
Vol 2015 ◽  
pp. 1-24 ◽  
Author(s):  
Chagai Levy ◽  
Monika Pinchas
Keyword(s):  
Maximum Likelihood ◽  
Gaussian Noise ◽  
Likelihood Estimation ◽  
Packet Delay ◽  
Fractional Gaussian Noise ◽  
Clock Skew ◽  
Ieee 1588 ◽  
Accuracy And Precision ◽  
Ethernet Network ◽  
Synchronization Accuracy

To support system-wide synchronization accuracy and precision in the sub-microsecond range without using GPS technique, the precise time protocol (PTP) standard IEEE-1588 v2 is chosen. Recently, a new clock skew estimation technique was proposed for the slave based on a dual slave clock method that assumes that the packet delay variation (PDV) in the Ethernet network is a constant delay. However, papers dealing with the Ethernet network have shown that this PDV is a long range dependency (LRD) process which may be modeled as a fractional Gaussian noise (fGn) with Hurst exponent (H) in the range of0.5<H<1. In this paper, we propose a new clock skew estimator based on the maximum likelihood (ML) technique and derive an approximated expression for the Cramer-Rao lower bound (CRLB) both valid for the case where the PDV is modeled as fGn (0.5<H<1). Simulation results indicate that our new clock skew method outperforms the dual slave clock approach and that the simulated mean square error (MSE) obtained by our new proposed clock skew estimator approaches asymptotically the developed CRLB.

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