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dc.contributor.authorRea, W.
dc.contributor.authorOxley, Leslie
dc.contributor.authorReale, M.
dc.contributor.authorBrown, J.
dc.date.accessioned2017-01-30T12:48:36Z
dc.date.available2017-01-30T12:48:36Z
dc.date.created2016-02-18T19:30:21Z
dc.date.issued2012
dc.identifier.citationRea, 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.
dc.identifier.urihttp://hdl.handle.net/20.500.11937/25456
dc.identifier.doi10.1016/j.matcom.2012.08.005
dc.description.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.

dc.titleNot all estimators are born equal: The empirical properties of some estimators of long memory
dc.typeJournal Article
dcterms.source.issn0378-4754
dcterms.source.titleMathematics and Computers in Simulation
curtin.departmentSchool of Economics and Finance
curtin.accessStatusFulltext not available


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