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.
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Mikosch, T., Wang, Q. A Monte Carlo method for estimating the correlation exponent. J Stat Phys 78, 799–813 (1995). https://doi.org/10.1007/BF02183688
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DOI: https://doi.org/10.1007/BF02183688