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Spectrum-based estimators of the bivariate Hurst exponent

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  • Ladislav Kristoufek

Abstract

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.

Suggested Citation

  • Ladislav Kristoufek, 2014. "Spectrum-based estimators of the bivariate Hurst exponent," Papers 1408.6637, arXiv.org, revised Nov 2014.
    • Handle: RePEc:arx:papers:1408.6637
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    References listed on IDEAS

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    Cited by:

    1. Ladislav Kristoufek, 2018. "Power-law cross-correlations: Issues, solutions and future challenges," Papers 1806.01616, arXiv.org.
    2. Ladislav Kristoufek, 2016. "Power-law cross-correlations estimation under heavy tails," Papers 1602.05385, arXiv.org, revised Apr 2016.

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