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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
      DOI
       10.1016/j.matcom.2012.08.005
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      Rea, W., Oxley, L., Reale, M., & Brown, J. (2012). Not all estimators are born equal: The empirical properties of some estimators of long memory. Mathematics and Computers in Simulation. Article in press.
      Permanent Research Commons link: https://hdl.handle.net/10289/6732
      Abstract
      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. We compare and contrast their performance on simulated Fractional Gaussian Noises and fractionally integrated series with lengths between 100 and 10,000 data points and H values between 0.55 and 0.90 or d values between 0.05 and 0.40. We apply all 12 estimators to the Campito Mountain data and estimate the accuracy of their estimates using the Beran goodness-of-fit test for long memory time series.
      Date
      2012
      Type
      Journal Article
      Publisher
      Elsevier
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      • Management Papers [1125]
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