Non-linear Estimate and Its Application on R/S Series Analysis
Hao Qing-min · Systems Engineering - Theory & Practice · 2005
R/S series analysis is widely used as measures of long memory in time series. As H parameter estimated bias existed and the precision may be improved through using non-linear estimate as we proposed and verified with ARFIMA model. Finally long memory characters of Chinese stock index and stock samples are revealed by non-linear R/S analysis.