The Optimal Bandwidth Parameter Selection in GPH Estimation

Table 2

Calculation accuracy of GPH long memory estimation under the optimal bandwidth parameter.

a = 0.6	P (A1)	P (A1 ∩ A2)	P (A1 ∩ A2 ∩ A3)
N = 100	0.5621	0.4697	0.0623
N = 200	0.6063	0.5349	0.1037
N = 300	0.6383	0.5759	0.1366
N = 400	0.6549	0.6028	0.1632
N = 500	0.6715	0.6269	0.1796
N = 600	0.6875	0.6478	0.2043
N = 700	0.6957	0.6608	0.2154
N = 800	0.7008	0.6709	0.2309
N = 900	0.7061	0.6803	0.2428
N = 1000	0.7250	0.6966	0.2597
N = 2000	0.7728	0.758	0.3486
N = 5000	0.8038	0.8034	0.4822
N = 10000	0.8284	0.8279	0.5938
N = 50000	0.8786	0.8673	0.6624