英文标题：
《Spectrum-based estimators of the bivariate Hurst exponent》
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作者：
Ladislav Kristoufek
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最新提交年份：
2014
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英文摘要：
We introduce two new estimators of the bivariate Hurst exponent in the power-law cross-correlations setting -- the cross-periodogram and local $X$-Whittle estimators -- as generalizations of their univariate counterparts. As the spectrum-based estimators are dependent on a part of the spectrum taken into consideration during estimation, a simulation study showing performance of the estimators under varying bandwidth parameter as well as correlation between processes and their specification is provided as well. The newly introduced estimators are less biased than the already existent averaged periodogram estimator which, however, has slightly lower variance. The spectrum-based estimators can serve as a good complement to the popular time domain estimators.
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中文摘要：
我们引入了幂律互相关背景下二元Hurst指数的两个新估计——交叉周期图估计和局部$X$Whittle估计——作为它们的一元对应估计的推广。由于基于谱的估计器依赖于估计过程中考虑的部分谱，因此还提供了一个仿真研究，显示了估计器在不同带宽参数下的性能以及过程与其规格之间的相关性。新引入的估计量比已经存在的平均周期图估计量有更少的偏差，然而，平均周期图估计量的方差稍低。基于谱的估计器可以作为流行的时域估计器的一个很好的补充。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Physics 物理学
二级分类：Data Analysis, Statistics and Probability 数据分析、统计与概率
分类描述：Methods, software and hardware for physics data analysis: data processing and storage; measurement methodology; statistical and mathematical aspects such as parametrization and uncertainties.
物理数据分析的方法、软硬件：数据处理与存储；测量方法；统计和数学方面，如参数化和不确定性。
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