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Journal of Statistical Physics

, Volume 78, Issue 3–4, pp 799–813 | Cite as

A Monte Carlo method for estimating the correlation exponent

  • T. Mikosch
  • Qiang Wang
Articles

Abstract

We propose a Monte Carlo method for estimating the correlation exponent of a stationary ergodic sequence. The estimator can be considered as a bootstrap version of the classical Hill estimator. A simulation study shows that the method yields reasonable estimates.

Key Words

Correlation exponent correlation dimension Hill estimator Monte Carlo method bootstrap 

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Copyright information

© Plenum Publishing Corporation 1995

Authors and Affiliations

  • T. Mikosch
    • 1
  • Qiang Wang
    • 2
  1. 1.Faculty of Mathematics and PhysicsUniveristy of GroningenGroningenThe Netherlands
  2. 2.Hydrometeorological Processes DivisionNational Hydrology InstituteSaskatoonCanada

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