Robustness of Estimators of Long-Range Dependence and Self-Similarity under non-Gaussianity

Details Robustness of Estimators of Long-Range Dependence and Self-Similarity under non-Gaussianity Robustness of Estimators of Long-Range Dependence and Self-Similarity under non-Gaussianity

2011-01-26

arxiv.org/abs/1101.5018v3

Phil. Trans. R. Soc. A (2012) vol. 370 no. 1962 1250-1267

Physics

Data Analysis, Statistics and Probability

Scientific paper

10.1098/rsta.2011.0349

Long-range dependence and non-Gaussianity are ubiquitous in many natural systems like ecosystems, biological systems and climate. However, it is not always appreciated that both phenomena may occur together in natural systems and that self-similarity in a system can be a superposition of both phenomena. These features, which are common in complex systems, impact the attribution of trends and the occurrence and clustering of extremes. The risk assessment of systems with these properties will lead to different outcomes (e.g. return periods) than the more common assumption of independence of extremes. Two paradigmatic models are discussed which can simultaneously account for long-range dependence and non-Gaussianity: Autoregressive Fractional Integrated Moving Average (ARFIMA) and Linear Fractional Stable Motion (LFSM). Statistical properties of estimators for long-range dependence and self-similarity are critically assessed. It is found that the most popular estimators can be biased in the presence of important features of many natural systems like trends and multiplicative noise. Also the long-range dependence and non-Gaussianity of two typical natural time series are discussed.

Affiliated with

Also associated with

No associations

Rating

Robustness of Estimators of Long-Range Dependence and Self-Similarity under non-Gaussianity does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Robustness of Estimators of Long-Range Dependence and Self-Similarity under non-Gaussianity, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Robustness of Estimators of Long-Range Dependence and Self-Similarity under non-Gaussianity will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-418720