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EnglishThe study of prolonged drought in the African subcontinent requires the formulation a FGN (Long Memory) model. Not much work seems to have been done in the parameter estimation of a long memory model. In this study, various estimators of Hurst h are evaluated to six annual flow series in the Congo basin. The sensitivity of a FGN model to Hurst h estimators is studied using simulation studies and statistical characteristics of droughts at variuos demand level are analysed. It is shown that an inappropriate choise of Hurst h estimator based on the principle of maximum likelihood should be used for formulating a long memory model.
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| Titolo: | Sensitivity of Fractional Gaussian Noise Model to Hurst H Estimators in Drougth Analysis |
| Autori: | |
| Data di pubblicazione: | 1987 |
| Rivista: | |
| Abstract: | The study of prolonged drought in the African subcontinent requires the formulation a FGN (Long M...emory) model. Not much work seems to have been done in the parameter estimation of a long memory model. In this study, various estimators of Hurst h are evaluated to six annual flow series in the Congo basin. The sensitivity of a FGN model to Hurst h estimators is studied using simulation studies and statistical characteristics of droughts at variuos demand level are analysed. It is shown that an inappropriate choise of Hurst h estimator based on the principle of maximum likelihood should be used for formulating a long memory model. |
| Handle: | http://hdl.handle.net/11391/925215 |
| Appare nelle tipologie: | 1.1 Articolo in rivista |
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