A comparison of techniques of estimation in long-memory processes

Luisa Bisaglia and Dominique Guegan ()
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Luisa Bisaglia: Departement of Statistics - Unipd - Università degli Studi di Padova = University of Padua
Dominique Guegan: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper we discuss the properties of most important estimators of long-range dependence parameters. We compare the properties of these estimators via Monte Carlo experiments. We give an empirical approach for confidence intervals for the different parameter estimates. We then apply these procedures to a real time series to investigate its long-memory properties.

Keywords: Fractional Gaussian noise; Fractional ARIMA (p; q) processes; Estimation; Long-range dependence (search for similar items in EconPapers)
Date: 1998-03
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Citations: View citations in EconPapers (8)

Published in Computational Statistics and Data Analysis, 1998, 27 (1), pp.61-81. ⟨10.1016/S0167-9473(97)00045-5⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00194462

DOI: 10.1016/S0167-9473(97)00045-5

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