Not all estimators are born equal: The empirical properties of some estimators of long memory
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...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
2012
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| Online Access: | http://hdl.handle.net/20.500.11937/25456 |