The Empirical Properties of Some Popular Estimators of Long Memory Processes (2008)
Type of ContentDiscussion / Working Papers
PublisherCollege of Business and Economics
University of Canterbury. Economics.
University of Canterbury. Mathematics and Statistics.
AuthorsRea, W.S., Oxley, L., Reale, M., Brown, J.show all
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.
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.
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