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

William Rea, Les Oxley, Marco Reale and Jennifer Brown

Mathematics and Computers in Simulation (MATCOM), 2013, vol. 93, issue C, 29-42

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.

Keywords: Strong dependence; Global dependence; Long range dependence; Hurst parameter estimators (search for similar items in EconPapers)
JEL-codes: C13 C22 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:93:y:2013:i:c:p:29-42

DOI: 10.1016/j.matcom.2012.08.005

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