Regularised estimators for fractional Gaussian noise
Research output: Contribution to conference › Paper › peer-review
Electronic versions
DOI
There is significant interest in long-range dependent processes since they occur in a wide range of phenomena across different areas of study. Based on the available models capable of describing long-range dependence, various parameter estimation methods have been developed. This paper revisits the maximum likelihood estimator and its computationally efficient approximations: the Whittle Estimator and the Circulant Embedding estimator. Based on the properties of these, a regularisation method for datasets largely contaminated with errors is introduced.
| Original language | Unknown |
|---|---|
| Pages | 5025-5030 |
| Number of pages | 6 |
| DOIs | |
| Publication status | Published - 22 Feb 2011 |
| Externally published | Yes |
| Event | 49th IEEE Conference on Decision and Control (CDC) - Atlanta, United States Duration: 15 Dec 2010 → 17 Dec 2010 |
Conference
| Conference | 49th IEEE Conference on Decision and Control (CDC) |
|---|---|
| Country/Territory | United States |
| City | Atlanta |
| Period | 15/12/10 → 17/12/10 |