The Empirical Properties of Some Popular Estimators of Long Memory Processes

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dc.contributor.authorRea, W.S.
dc.contributor.authorOxley, L.
dc.contributor.authorReale, M.
dc.contributor.authorBrown, J.
dc.date.accessioned2009-01-15T20:47:43Z
dc.date.available2009-01-15T20:47:43Z
dc.date.issued2008en
dc.descriptionRePEc Working Paper Series No. 13/2008en
dc.description.abstractWe 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.en
dc.identifier.citationRea, 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.en
dc.identifier.urihttp://hdl.handle.net/10092/1997
dc.language.isoen
dc.publisherCollege of Business and Economicsen
dc.publisherUniversity of Canterbury. Economics.en
dc.publisherUniversity of Canterbury. Mathematics and Statistics.en
dc.rights.urihttps://hdl.handle.net/10092/17651en
dc.subjectStrong dependenceen
dc.subjectglobal dependenceen
dc.subjectlong range dependenceen
dc.subjectHurst parameter estimatorsen
dc.subject.marsdenFields of Research::230000 Mathematical Sciences::230100 Mathematicsen
dc.titleThe Empirical Properties of Some Popular Estimators of Long Memory Processesen
dc.typeDiscussion / Working Papers
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