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    The Empirical Properties of Some Popular Estimators of Long Memory Processes (2008)

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    Type of Content
    Discussion / Working Papers
    UC Permalink
    http://hdl.handle.net/10092/1997
    Publisher
    College of Business and Economics
    University of Canterbury. Economics.
    University of Canterbury. Mathematics and Statistics.
    Collections
    • Business and Law: Working Papers [194]
    • Engineering: Working Papers [27]
    • Working Papers in Economics [142]
    Authors
    Rea, W.S., Oxley, L., Reale, M., Brown, J.show all
    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.

    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.
    This citation is automatically generated and may be unreliable. Use as a guide only.
    Keywords
    Strong dependence; global dependence; long range dependence; Hurst parameter estimators
    Rights
    https://hdl.handle.net/10092/17651
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