1.
Phys Rev E Stat Nonlin Soft Matter Phys
; 68(1 Pt 2): 017103, 2003 Jul.
Article
in English
| MEDLINE
| ID: mdl-12935287
ABSTRACT
The estimation of long memory is often restricted by missing data. We examine the effects on the estimation of long memory of three simple gap-filling techniques: interpolation, random, and mean filling. Numerical simulations show that the gap-filling techniques introduce significant deviations from the expected scaling behavior for both persistent and antipersistent time series. For persistent time series the interpolation method provides a reliable estimation of long memory for scales longer than the largest likely gap.