Browsing by Subject "Long range dependence"

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Not all estimators are born equal: The empirical properties of some estimators of long memory

Rea, William; Oxley, Les; Reale, Marco; Brown, Jennifer (Elsevier, 2012)

We present the results of a simulation study into the properties of 12 different estimators of the Hurst parameter, H, or the fractional integration parameter, d, in long memory time series which are available in R packages. ...