Non-linear Estimate and Its Application on R/S Series Analysis
R/S系列分析的非线性估计及应用

R/S series analysis is widely used as measures of long memory in time series. As H parameter estimated bias existed and the precision may be improved through using non-linear estimate as we proposed and verified with ARFIMA model. Finally long memory characters of Chinese stock index and stock samples are revealed by non-linear R/S analysis.