Robustness of the whittle estimator applied to non-Gaussian long-range dependent processes

Authors:
Maria-Estrella Sousa-Vieira
Affiliations:
Department of Telematics Engineering, University of Vigo, Spain
Venue:
ASMTA'10 Proceedings of the 17th international conference on Analytical and stochastic modeling techniques and applications
Year:
2010

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Abstract

In this paper, we check the robustness of the Whittle estimator applied to non-Gaussian long-range dependent processes, as the M/G/∞ process. We evaluate the bias and standard deviation of the estimator for different combinations of the parameters of the process. Results obtained indicated that the method is robust as a point estimator, but must be used with caution about its confidence intervals when the marginal distribution of the process cannot be assumed approximately Gaussian.