The Empirical Properties of Some Popular Estimators of Long Memory Processes

Type of content
Discussion / Working Papers
Publisher's DOI/URI
Thesis discipline
Degree name
Publisher
College of Business and Economics
University of Canterbury. Economics.
University of Canterbury. Mathematics and Statistics.
Journal Title
Journal ISSN
Volume Title
Language
Date
2008
Authors
Rea, W.S.
Oxley, L.
Reale, M.
Brown, J.
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. 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.

Description
RePEc Working Paper Series No. 13/2008
Citation
Rea, W.S., Oxley, L., Reale, M., Brown, J. (2008) The Empirical Properties of Some Popular Estimators of Long Memory Processes. College of Business and Economics, University of Canterbury. 17pp.
Keywords
Strong dependence, global dependence, long range dependence, Hurst parameter estimators
Ngā upoko tukutuku/Māori subject headings
ANZSRC fields of research
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