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    Not all estimators are born equal: The empirical properties of some estimators of long memory

    Access Status
    Fulltext not available
    Authors
    Rea, W.
    Oxley, Leslie
    Reale, M.
    Brown, J.
    Date
    2012
    Type
    Journal Article
    
    Metadata
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    Citation
    Rea, W. and Oxley, L. and Reale, M. and Brown, J. 2012. Not all estimators are born equal: The empirical properties of some estimators of long memory. Mathematics and Computers in Simulation. 93: pp. 29-42.
    Source Title
    Mathematics and Computers in Simulation
    DOI
    10.1016/j.matcom.2012.08.005
    ISSN
    0378-4754
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/25456
    Collection
    • Curtin Research Publications
    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 which are available in R packages. 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. © 2012 IMACS.

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