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 |
| _version_ | 1848751714317893632 |
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| author | Rea, W. Oxley, Leslie Reale, M. Brown, J. |
| author_facet | Rea, W. Oxley, Leslie Reale, M. Brown, J. |
| author_sort | Rea, W. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T07:57:07Z |
| format | Journal Article |
| id | curtin-20.500.11937-25456 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:57:07Z |
| publishDate | 2012 |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-254562017-09-13T15:18:09Z Not all estimators are born equal: The empirical properties of some estimators of long memory Rea, W. Oxley, Leslie Reale, M. Brown, J. 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. 2012 Journal Article http://hdl.handle.net/20.500.11937/25456 10.1016/j.matcom.2012.08.005 restricted |
| spellingShingle | Rea, W. Oxley, Leslie Reale, M. Brown, J. Not all estimators are born equal: The empirical properties of some estimators of long memory |
| title | Not all estimators are born equal: The empirical properties of some estimators of long memory |
| title_full | Not all estimators are born equal: The empirical properties of some estimators of long memory |
| title_fullStr | Not all estimators are born equal: The empirical properties of some estimators of long memory |
| title_full_unstemmed | Not all estimators are born equal: The empirical properties of some estimators of long memory |
| title_short | Not all estimators are born equal: The empirical properties of some estimators of long memory |
| title_sort | not all estimators are born equal: the empirical properties of some estimators of long memory |
| url | http://hdl.handle.net/20.500.11937/25456 |